Nelder Mead Method

Initial Triangle  

    Let be the function that is to be minimized.  To start, we are given three vertices of a triangle:  ,  for  .  The function is then evaluated at each of the three points:  ,  for  .  The subscripts are then reordered so that  .  We use the notation  

(1)        ,  ,  and  .  

to help remember that is the best vertex, is good (next to best), and is the worst vertex.  

Midpoint of the Good Side

    The construction process uses the midpoint of the line segment joining and .  It is found by averaging the coordinates:  

(2)        .  

Reflection Using the Point  

    The function decreases as we move along the side of the triangle from to , and it decreases as we move along the side from to.  Hence it is feasible that takes on smaller values at points that lie away from on the opposite side of the line between and.  We choose a test point that is obtained by �reflecting� the triangle through the side . To determine , we first find the midpoint of the side .  Then draw the line segment from to and call its length d.  This last segment is extended a distance d through to locate the point .  The vector formula for is  

(3)        .  

Expansion Using the Point  

    If the function value at is smaller than the function value at , then we have moved in the correct direction toward the minimum.  Perhaps the minimum is just a bit farther than the point .  So we extend the line segment through and to the point .  This forms an expanded triangle .  The point is found by moving an additional distance d along the line joining and .  If the function value at is less than the function value at , then we have found a better vertex than .  The vector formula for is  
    
(4)        .    

Contraction Using the Point

    If the function values at and are the same, another point must be tested.  Perhaps the function is smaller at , but we cannot replace with because we must have a triangle.  Consider the two midpoints and of the line segments and , respectively.  The point with the smaller function value is called , and the new triangle is .  
Note:  The choice between and might seem inappropriate for the two-dimensional case, but it is important in higher dimensions.  

Shrink Toward  

    If the function value at is not less than the value at , the points and must be shrunk toward .  The point is replaced with , and is replaced with , which is the midpoint of the line segment joining with .

Logical Decisions for Each Step

A computationally efficient algorithm should perform function evaluations only if needed.  In each step, a new vertex is found, which replaces . As soon as it is found, further investigation is not needed, and the iteration step is completed.  The logical details for two-dimensional cases are given in the proof.  

Algorithm (Nelder-Mead Search for a Minimum).  To approximate a local minimum of  ,  where    is a continuous function of  n  real variables, and given the    initial starting points    for  .  
Remark.  This is also known as the polytope method.  

Mathematica Subroutine (Nelder-Mead Search for a Minimum).  To approximate a local minimum of  ,  where    is a continuous function of  2  real variables, and given the initial starting points    for  .