Namespaces

Types in MathNet.Numerics.Optimization

Type NelderMeadSimplex

Namespace MathNet.Numerics.Optimization

Interfaces IUnconstrainedMinimizer

Class implementing the Nelder-Mead simplex algorithm, used to find a minima when no gradient is available. Called fminsearch() in Matlab. A description of the algorithm can be found at http://se.mathworks.com/help/matlab/math/optimizing-nonlinear-functions.html#bsgpq6p-11 or https://en.wikipedia.org/wiki/Nelder%E2%80%93Mead_method

Constructors

Static Functions

Methods

Properties

Public Constructors

NelderMeadSimplex(double convergenceTolerance, int maximumIterations)

Public Static Functions

MinimizationResult Minimum(IObjectiveFunction objectiveFunction, Vector<T> initialGuess, double convergenceTolerance, int maximumIterations)

Finds the minimum of the objective function without an initial perturbation, the default values used by fminsearch() in Matlab are used instead http://se.mathworks.com/help/matlab/math/optimizing-nonlinear-functions.html#bsgpq6p-11
Parameters
IObjectiveFunction objectiveFunction

The objective function, no gradient or hessian needed

Vector<T> initialGuess

The initial guess

double convergenceTolerance
int maximumIterations
Return
MinimizationResult

The minimum point

MinimizationResult Minimum(IObjectiveFunction objectiveFunction, Vector<T> initialGuess, Vector<T> initalPertubation, double convergenceTolerance, int maximumIterations)

Finds the minimum of the objective function with an initial perturbation
Parameters
IObjectiveFunction objectiveFunction

The objective function, no gradient or hessian needed

Vector<T> initialGuess

The initial guess

Vector<T> initalPertubation

The initial perturbation

double convergenceTolerance
int maximumIterations
Return
MinimizationResult

The minimum point

Public Methods

bool Equals(object obj)

MinimizationResult FindMinimum(IObjectiveFunction objectiveFunction, Vector<T> initialGuess)

Finds the minimum of the objective function without an initial perturbation, the default values used by fminsearch() in Matlab are used instead http://se.mathworks.com/help/matlab/math/optimizing-nonlinear-functions.html#bsgpq6p-11
Parameters
IObjectiveFunction objectiveFunction

The objective function, no gradient or hessian needed

Vector<T> initialGuess

The initial guess

Return
MinimizationResult

The minimum point

MinimizationResult FindMinimum(IObjectiveFunction objectiveFunction, Vector<T> initialGuess, Vector<T> initalPertubation)

Finds the minimum of the objective function with an initial perturbation
Parameters
IObjectiveFunction objectiveFunction

The objective function, no gradient or hessian needed

Vector<T> initialGuess

The initial guess

Vector<T> initalPertubation

The initial perturbation

Return
MinimizationResult

The minimum point

int GetHashCode()

Type GetType()

string ToString()

Public Properties

double ConvergenceTolerance get; set;

int MaximumIterations get; set;