Nelder-Mead algorithm

In 1965, John Nelder and Roger Mead published an algorithm that has become somewhat famous. MATLAB's fminsearch() is based on it; so is Mathematica's NMinimize[]. See MathWorld for an outline of the technique. The original paper is:

Nelder, J.A. and Mead, R., "A Simplex Method for Function Minimization", Computer Journal 7 (4): 308-313 (Jan., 1965).

The full text of the paper itself was once available in the form of huge TIFF files at Oxford University Press page; however, at 2007-03-08 the files are unavailable. The paper was published in volume 7, issue 4 of the journal; some citations (such as the one at CiteSeer) omit the issue number.

A contemporary view of the algorithm is provided in this paper:

Lagarias, Jeffrey C., James A. Reeds, Margaret H. Wright, and Paul E. Wright, "Convergence Properties of the Nelder-Mead Simplex Method in Low Dimensions," SIAM Journal on Optimization 9 (1): 112-147 (1998).

Charles - links
2007-04-09