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NelderMead reimplementation #951

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ChristophHornung
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Reimplementation of NelderMead using https://www.scilab.org/sites/default/files/neldermead.pdf as the source for the algorithm. (This matches https://se.mathworks.com/help/matlab/math/optimizing-nonlinear-functions.html#bsgpq6p-11 for the default parameters).

The existing algorithm did differ quite a lot from the original. (#950)

@ChristophHornung
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This is my first PR here, I am always happy about comments. The original algorithm differed from the NelderMead descriptions I found, the main changes should be:

  • No direct changes of the simplex, the new vertex is only accepted as described in the algorithm
  • Only calculating the centroid once
  • Fixed the scaling parameters
  • Added the 'outside contraction' part

@ChristophHornung
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@eriove Anything I should do to get the PR approved?

@eriove
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eriove commented Sep 27, 2022

@eriove Anything I should do to get the PR approved?

I'm afraid I'm not a maintainer. Check with @cdrnet

@ChristophHornung
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@cdrnet Anything I should do to get the PR approved? Some additional info is in #950.

@ChristophHornung
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@cdrnet Hi, just wanted to check if there is anything I should change in this PR? Or is there someone specific I should ask for feedback?

@BarkenBark
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I am interested in getting this PR merged!

@ChristophHornung
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@BarkenBark Me too, but it seems there is no real response here. :(

@jenbroross
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@cdrnet is there any reason why this hasn't been merged into the main code? Current version does seem prone to settling on a local minimum.

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4 participants