File: nelder_005fmead_005fmin.html

package info (click to toggle)
octave-optim 1.4.0-1
  • links: PTS, VCS
  • area: main
  • in suites: jessie, jessie-kfreebsd
  • size: 2,064 kB
  • ctags: 374
  • sloc: cpp: 1,126; perl: 158; makefile: 79
file content (134 lines) | stat: -rw-r--r-- 5,333 bytes parent folder | download
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
<html lang="en">
<head>
<title>nelder_mead_min - optim_doc</title>
<meta http-equiv="Content-Type" content="text/html">
<meta name="description" content="optim_doc">
<meta name="generator" content="makeinfo 4.13">
<link title="Top" rel="start" href="index.html#Top">
<link rel="up" href="Scalar-optimization.html#Scalar-optimization" title="Scalar optimization">
<link rel="prev" href="adsmax.html#adsmax" title="adsmax">
<link rel="next" href="powell.html#powell" title="powell">
<link href="http://www.gnu.org/software/texinfo/" rel="generator-home" title="Texinfo Homepage">
<!--
Additional documentation for the optim package for Octave.

Copyright (C) <Olaf Till <i7tiol@t-online.de>>

You can redistribute this documentation and/or modify it under the terms
of the GNU General Public License as published by the Free Software
Foundation; either version 3 of the License, or (at your option) any
later version.

This documentation is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General
Public License for more details.

You should have received a copy of the GNU General Public License along
with this documentation; if not, see <http://www.gnu.org/licenses/>.-->
<meta http-equiv="Content-Style-Type" content="text/css">
<style type="text/css"><!--
  pre.display { font-family:inherit }
  pre.format  { font-family:inherit }
  pre.smalldisplay { font-family:inherit; font-size:smaller }
  pre.smallformat  { font-family:inherit; font-size:smaller }
  pre.smallexample { font-size:smaller }
  pre.smalllisp    { font-size:smaller }
  span.sc    { font-variant:small-caps }
  span.roman { font-family:serif; font-weight:normal; } 
  span.sansserif { font-family:sans-serif; font-weight:normal; } 
--></style>
</head>
<body>
<div class="node">
<a name="nelder_mead_min"></a>
<a name="nelder_005fmead_005fmin"></a>
<p>
Next:&nbsp;<a rel="next" accesskey="n" href="powell.html#powell">powell</a>,
Previous:&nbsp;<a rel="previous" accesskey="p" href="adsmax.html#adsmax">adsmax</a>,
Up:&nbsp;<a rel="up" accesskey="u" href="Scalar-optimization.html#Scalar-optimization">Scalar optimization</a>
<hr>
</div>

<h3 class="section">1.10 Another Nelder-Mead algorithm</h3>

<p><a name="index-nelder_005fmead_005fmin-14"></a>
This function does gradient-less minimization using the Nelder-Mead
algorithm. No constraints are honoured.

<h4 class="subheading">Helptext:</h4>

<p><a name="XREFnelder_005fmead_005fmin"></a>
<pre class="verbatim">[x0,v,nev] = nelder_mead_min (f,args,ctl) - Nelder-Mead minimization

Minimize 'f' using the Nelder-Mead algorithm. This function is inspired
from the that found in the book "Numerical Recipes".

ARGUMENTS
---------
f     : string : Name of function. Must return a real value
args  : list   : Arguments passed to f.
     or matrix : f's only argument
ctl   : vector : (Optional) Control variables, described below
     or struct

RETURNED VALUES
---------------
x0  : matrix   : Local minimum of f
v   : real     : Value of f in x0
nev : number   : Number of function evaluations

CONTROL VARIABLE : (optional) may be named arguments (i.e. "name",value
------------------ pairs), a struct, or a vector of length &lt;= 6, where
                   NaN's are ignored. Default values are written &lt;value>.
 OPT.   VECTOR
 NAME    POS
ftol,f  N/A    : Stopping criterion : stop search when values at simplex
                 vertices are all alike, as tested by 

                  f > (max_i (f_i) - min_i (f_i)) /max(max(|f_i|),1)

                 where f_i are the values of f at the vertices.  &lt;10*eps>

rtol,r  N/A    : Stop search when biggest radius of simplex, using
                 infinity-norm, is small, as tested by :

             ctl(2) > Radius                                     &lt;10*eps>

vtol,v  N/A    : Stop search when volume of simplex is small, tested by
           
             ctl(2) > Vol

crit,c ctl(1)  : Set one stopping criterion, 'ftol' (c=1), 'rtol' (c=2)
                 or 'vtol' (c=3) to the value of the 'tol' option.    &lt;1>

tol, t ctl(2)  : Threshold in termination test chosen by 'crit'  &lt;10*eps>

narg  ctl(3)  : Position of the minimized argument in args            &lt;1>
maxev ctl(4)  : Maximum number of function evaluations. This number &lt;inf>
                may be slightly exceeded.
isz   ctl(5)  : Size of initial simplex, which is :                   &lt;1>

               { x + e_i | i in 0..N } 

               Where x == args{narg} is the initial value 
                e_0    == zeros (size (x)), 
                e_i(j) == 0 if j != i and e_i(i) == ctl(5)
                e_i    has same size as x

               Set ctl(5) to the distance you expect between the starting
               point and the minimum.

rst   ctl(6)   : When a minimum is found the algorithm restarts next to
                 it until the minimum does not improve anymore. ctl(6) is
                 the maximum number of restarts. Set ctl(6) to zero if
                 you know the function is well-behaved or if you don't
                 mind not getting a true minimum.                     &lt;0>

verbose, v     Be more or less verbose (quiet=0)                      &lt;0>

</pre>

<!--  -->
   </body></html>