Optimization on Microcomputers: The Nelder-Mead Simplex Algorithm
RICE UNIV HOUSTON TX DEPT OF COMPUTATIONAL AND APPLIED MATHEMATICS
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In this paper we describe the Nelder-Mead simplex method for obtaining the minimizer of a function. The Nelder-Mead algorithm has several properties that make it a natural choice for implementation and utilization on microcomputers. Stopping criteria for the method are presented as well as a brief discussion of the convergence properties of the method. An algorithmic statement of the method is included as an appendix.
- Numerical Mathematics
- Computer Hardware