NelderMead Class Reference

An optimizer using the Nelder Mead method, also known as the polytope or the simplex method. More...

Collaboration diagram for NelderMead:

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List of all members.

Public Member Functions
const Matrix &	data ()
const Matrix &	data ()
index_t	dimension ()
index_t	dimension ()
void	Eval (double **pts)
void	Eval (double **pts)
void	Init (long double(*fun)(Vector &, const Matrix &), Matrix &data, datanode *opt_module)
void	Init (long double(*fun)(Vector &, const Matrix &), Matrix &data, datanode *opt_module)
long double	ModSimplex_ (double **pts, long double *y, double *psum, index_t ihi, float fac)
long double	ModSimplex_ (double **pts, long double *y, double *psum, index_t ihi, float fac)

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Detailed Description

An optimizer using the Nelder Mead method, also known as the polytope or the simplex method.

It does multivariate minimization of an objective function. If it is optimizing in 'd' dimensions, it would require 'd+1' starting points.

Example use:

 double init_pts[d+1][d];
 index_t number_of_function_evaluations;
 struct datanode *opt_module = fx_submodule(NULL,"NelderMead","opt_module");
 Matrix data;
 index_t dim_param_space;

 ...
 NelderMead opt;
 opt.Init(obj_function, data, dim_param_space, opt_module);
 ...
 opt.Eval(init_pts);
 // init_pts[0] contaings the optimal point found

Definition at line 117 of file optimizers.h.

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The documentation for this class was generated from the following files:

• fastlib/optimization/contrib/optimizers.h
• include/fastlib/optimization/contrib/optimizers.h
• fastlib/optimization/contrib/optimizers.cc