Numerical Experiment for the Properties of Nelder-Mead Simplex Algorithm Convergence

Nelder-Mead 심플렉스 알고리듬의 수렴에 관한 수치실험

To find the optimal solution as rapidly and exactly as possible with Nelder-Mead simplex algorithm, the present values of the reflection, expansion, contraction and/or shrink parameters of this algorithm are needed to be changed at appropriate time during the search process. The reflection parameter is selected in this study in order to be changed because reflection, expansion and contraction process can be simultaneously effected by only this parameter. Two independent indices for determining whether the present value of the reflection parameter of this algorithm should be changed or not during the search process are suggested in this study. Those indices were made of the equations of Nelder-Mead simplex algorithm's convergence criterion and Dennis-Wood's convergence criterion, respectively. It is appeared that the optimal solution can be find with smaller numbers of objective function evaluation than the original Nelder-Mead's one with fixed parameter when the those indices are used during the search process. and the more remarkable reduction effect of the number of an objective function evaluation can be obtained when the latter index is used.