NMM: Week 10 - Optimization + Search

Here we explore minimization approaches to multidimensional search and optimization. Nelder-Mead (a.k.a. Downhill Simplex) is explored on the Rosenbrock function using Python's SciPy.

The Nelder-Mead algorithm can take following moves from simplex:

To determine convergence, we also need to define a threshold change in f(x,y) at which we call a win. In the code example here, we simply define this as a static threshold, though adaptive methods can be used to get around issues in more complicated functions.

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With more time, I'd like to overlay a plot of the algorithm over the graph itself, but for now, the code outputs local minimum f(x,y) at each step...

NMM 2014