11.05.06
Grid Restrained Nelder-Mead
The Nelder-Mead algorithm is a rather popular algorithm for (low dimensional) nonlinear programming. The original version (from 1965, see [1]) has known and varied failure modes, but never really had to fear for its popularity. It doesn’t need derivatives, which can be quite convenient, and has a reputation to work well even with noisy and rough functions.
Recently, a few provably convergent variants have been devised (see [2], [3], and [4]). The one by A. Bürmen et al [4], the “Grid Restrained Nelder-Mead Algorithm” (GRNMA) is notable because it does not impose a “sufficient descent” condition at each iteration, which makes it closer to the original algorithm.
A reliable, simple-to-use derivative free minimization routine is a handy little tool to have around. It turns out that implementing the GRNMA is also a pleasant programming project.
04.13.06
First post
At last, I have a blog. I thought about one for a long time, but somehow never moved beyond the early planning phase. About two weeks ago I decided to go ahead with it, and, after taking all the little decissions that go with that step, here it is.
So, what have we here? a nice empty blog, and no content yet. And by the look of things, it will stay that way over easter.
