A Simplex Method for Function Minimization

A method is described for the minimization of a function of n variables, which depends on the comparison of function values at the vertices of a general simplex, followed by the replacement of the vertex with the highest value by another point

J. A. Nelder; R. Mead

2012

Scholarcy highlights

  • A method is described for the minimization of a function of n variables, which depends on the comparison of function values at the vertices of a general simplex, followed by the replacement of the vertex with the highest value by another point
  • The simplex adapts itself to the local landscape, and contracts on to the final minimum
  • A procedure is given for the estimation of the Hessian matrix in the neighbourhood of the minimum, needed in statistical estimation problems

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