Dear all, I came across a question regarding the size of the simplex in the multi-dimensional minimization. Specifically, I am trying to use the simplex method to minimize a nonlinear non-differentiable function with multiple variables whose ranges differ by several magnitudes. for example, V1 ~ 0.1, V2 ~ 10000. I have observed that in order for the algorithm to work for V1, I have to set the stop criteria, epsabs, much smaller than the initial value of V1, like 0.001, but such an epsabs will be too strict for V2. My question here, how is the size of the simplex determined? Is the scale of the parameter considered when the simplex size is calculated? If I can not use epsabs as the stopping criteria in such a problem with parameters spanning multiple orders of magnitude, what other options would you suggest? Thanks in advance for your kind help.
Best, Jiasen Guo
