Optimization

75Unconstrained Optimization

3.4.9 Nelder–Mead Algorithm

Simplex refers to a geometric gure formed by n + 1 points in an n dimension

space. For example, in a two-dimensional space, the gure formed is a trian-

gle. The Nelder–Mead algorithm is a direct search method and uses function

information alone (no gradient computation is required) to move from one

iteration to another. The objective function is computed at each vertex of the

simplex. Using this information, the simplex is moved in the search space.

Again, the objective function is computed at each vertex of the simplex. The

process of moving the simplex is continued until the optim