The nmsmax.m function (Nelder-Mead maximization) in the Optim-1.0.12
package contains three coding errors. Attached is a diff -c file with
fixes. These fixes reduce the number of function evaluations for my
test functions by about 40% and also greatly reduces the number of times
the procedure gets "stuck" at non-optimum points. The fixes conform the
function to the algorithm published by Nelder and Mead, and also cause
the routine's results to agree with other implementations of the algorithm.
--
Bob Walton
*** nmsmaxorig.m Sun Aug 20 09:37:58 2006
--- nmsmax.m Thu Aug 26 12:36:46 2010
***************
*** 154,160 ****
x(:) = ve;
fe = dirn*feval(fun,x,varargin{:});
nf = nf + 1;
! if fe > f(1)
vk = ve; fk = fe;
how = 'expand, ';
end
--- 154,160 ----
x(:) = ve;
fe = dirn*feval(fun,x,varargin{:});
nf = nf + 1;
! if fe > fr
vk = ve; fk = fe;
how = 'expand, ';
end
***************
*** 168,178 ****
x(:) = vc;
fc = dirn*feval(fun,x,varargin{:});
nf = nf + 1;
! if fc > f(n)
vk = vc; fk = fc;
how = 'contract,';
else
! for j = 2:n
V(:,j) = (V(:,1) + V(:,j))/2;
x(:) = V(:,j);
f(j) = dirn*feval(fun,x,varargin{:});
--- 168,178 ----
x(:) = vc;
fc = dirn*feval(fun,x,varargin{:});
nf = nf + 1;
! if fc > f(n+1)
vk = vc; fk = fc;
how = 'contract,';
else
! for j = 2:n+1
V(:,j) = (V(:,1) + V(:,j))/2;
x(:) = V(:,j);
f(j) = dirn*feval(fun,x,varargin{:});
------------------------------------------------------------------------------
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