Journal for Economic Forecasting
Volume 4, Issue 4, December 2007

Applying Nelder Mead’s Optimization Algorithm for Multiple Global Minima

Stefanescu, Stefan : Applying Nelder Mead’s Optimization Algorithm for Multiple Global Minima. Published in Romanian Journal of Economic Forecasting, 4, 2007.

Full text available online 16 February 2008

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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.

Keywords: global optimization, Nelder-Mead algorithm, multiple minima

JEL Classification: C61, C02