Group for Research in Decision Analysis

G-2011-28

A Parametric Simplex Search for Unconstrained Optimization Problem

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In this paper an effective modification to the original Nelder-Mead simplex method is suggested. It is shown that the new heuristic outperforms on average the original version of NM as well as its several modifications, showing especially its robustness in solving the standard functions. This result clearly indicates benefits of introducing randomness into a deterministic search procedure.

, 15 pages