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Applying Nelder Mead’s Optimization Algorithm for Multiple Global Minima

Author

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  • Stefanescu, Stefan

    (Associate Professor, PhD., Faculty of Mathematics and Informatics, University of Bucharest)

Abstract

The iterative deterministic optimization method could not more find multiple global minima of a given objective function ( [6] ). Generally, the probabilistic optimization algorithms have not this restrictive behaviour, to determine only a single global minimum point. In this context we’ll prove experimentally that Nelder-Mead’s heuristic procedure can detect successfully multiple global extremal points.

Suggested Citation

  • Stefanescu, Stefan, 2007. "Applying Nelder Mead’s Optimization Algorithm for Multiple Global Minima," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 4(4), pages 97-103, December.
    • Handle: RePEc:rjr:romjef:v:4:y:2007:i:4:p:97-103
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    More about this item

    Keywords

    global optimization; Nelder-Mead algorithm; multiple minima;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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