nelder_mead.cc File Reference

Implementation of Nelder–Mead method for minimization. More...

#include "nelder_mead.hh"
#include <vector>

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Functions
double	nelder_mead (func_t f, int n, double *x, double const *steps, double mxrngy, double mxrngx, int mxiter)
	Perform minimization with Nelder–Mead method. More...

Variables
double const	alpha = 1
	reflection coefficient
double const	beta = 0.5
	expansion coefficient
double const	gamma = 2
	contraction coefficient
double const	delta = 0.5
	shrinking coefficient

Detailed Description

Implementation of Nelder–Mead method for minimization.

Definition in file nelder_mead.cc.

Function Documentation

nelder_mead()

double nelder_mead	(	func_t	f,
		int	n,
		double *	x,
		double const *	steps,
		double	mxrngy = 0.00001,
		double	mxrngx = 0.00001,
		int	mxiter = 1000
	)

Perform minimization with Nelder–Mead method.

Returns

the minimum value of the function found

create initial simplex, initial x comes first

Parameters

[in]	f	function to be minimized
[in]	n	number of dimensions of parameter space
[in,out]	x	initial guess, returns position of found minimum
[in]	steps	step sizes in all directions
[in]	mxrngy	required function value accuracy
[in]	mxrngx	required maximum position accuracy
[in]	mxiter	maximum number of iterations

Definition at line 12 of file nelder_mead.cc.