NAME

PDL::Opt::Simplex -- Simplex optimization routines

SYNOPSIS

 use PDL::Opt::Simplex;

 ($optimum,$ssize) = simplex($init,$initsize,$minsize,
                 $maxiter,
                 sub {evaluate_func_at($_[0])},
                 sub {display_simplex($_[0])}
                 );

DESCRIPTION

This package implements the commonly used simplex optimization algorithm. The basic idea of the algorithm is to move a "simplex" of N+1 points in the N-dimensional search space according to certain rules. The main benefit of the algorithm is that you do not need to calculate the derivatives of your function.

The initial simplex is generated with its centroid at $init, which is assumed to be one-dimensional.

The sub is assumed to understand more than 1 dimensions and threading. Its signature is 'inp(ndims); [ret]out()'. An example would be

        sub evaluate_func_at {
                my($xv) = @_;
                my $x1 = $xv->slice("(0)");
                my $x2 = $xv->slice("(1)");
                return $x1**4 + ($x2-5)**4 + $x1*$x2;
        }

$ssize gives a very very approximate estimate of how close we might be - it might be miles wrong. It is the euclidean distance between the best and the worst vertices. If it is not very small, the algorithm has not converged.

FUNCTIONS

simplex

Simplex optimization routine

 ($optimum,$ssize) = simplex($init,$initsize,$minsize,
                 $maxiter,
                 sub {evaluate_func_at($_[0])},
                 sub {display_simplex($_[0])}
                 );

See module PDL::Opt::Simplex for more information.

CAVEATS

Do not use the simplex method if your function has local minima. It will not work. Use genetic algorithms or simulated annealing or conjugate gradient or momentum gradient descent.

They will not really work either but they are not guaranteed not to work ;) (if you have infinite time, simulated annealing is guaranteed to work but only after it has visited every point in your space).

SEE ALSO

Ron Shaffer's chemometrics web page and references therein: http://chem1.nrl.navy.mil/~shaffer/chemoweb.html.

Numerical Recipes (bla bla bla XXX ref).

The demonstration (Examples/Simplex/tsimp.pl).

AUTHOR

Copyright(C) 1997 Tuomas J. Lukka. All rights reserved. There is no warranty. You are allowed to redistribute this software / documentation under certain conditions. For details, see the file COPYING in the PDL distribution. If this file is separated from the PDL distribution, the copyright notice should be included in the file.