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A Stochastic Convergence Result for the Nelder–Mead Simplex Method

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  • Aurél Galántai

    (Óbuda University, 1034 Budapest, Hungary)

Abstract

We prove that the Nelder–Mead simplex method converges in the sense that the simplex vertices converge to a common limit point with a probability of one. The result may explain the practical usefulness of the Nelder–Mead method.

Suggested Citation

  • Aurél Galántai, 2023. "A Stochastic Convergence Result for the Nelder–Mead Simplex Method," Mathematics, MDPI, vol. 11(9), pages 1-12, April.
    • Handle: RePEc:gam:jmathe:v:11:y:2023:i:9:p:1998-:d:1130877
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    References listed on IDEAS

    as
    1. Nash, John C., 2014. "On Best Practice Optimization Methods in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 60(i02).
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