Nelder Mead in C++

This is a simple C++ implementation of Nelder Mead method, a numerical method to find the minimum or maximum of an objective function in a multidimensional space. This project implements the Nelder Mead method in Implementing the Nelder-Mead simplex algorithm with adaptive parameters by Gao and Han, which makes a modification to improve convergence in higher dimensions.

This is a header only library. To use this library, simply include the nelder_mead.h file in your program. The library defines a single function find_min.

#include "nelder_mead.h"

double rosen(const std::vector<double>& x) {
   return std::pow((x[0] - x[1] * x[1]), 2) + std::pow(1 - x[0], 2);
}

std::vector<double> res = nelder_mead::find_min(rosen, std::vector<double>{2,4}); 
std::cout << res[0] << " " << res[1] << std::endl;

The output is

1 1

C++11 is required. See example.cpp for a more detailed example.

This is the detailed prototype of the function:

template <typename Function, typename T = double>
std::vector<T> find_min(const Function &func, std::vector<T>& initial_point,
                        bool                               adaptive = false,
                        const std::vector<std::vector<T>> &initial_simplex = {},
                        T tol_fun = 1e-8, T tol_x = 1e-8,
                        unsigned int max_iter      = 1000000,
                        unsigned int max_fun_evals = 1000000);

Types:

type T: the value type of the objective function.
type Function: a function/function object/function pointer that takes a std::vector<T> and returns a T.

Arguments:

func: the objective function to optimize
initial_point: the starting point of the process.
adaptive: whether to use the adaptive parameters as described in "Implementing the Nelder-Mead simplex algorithm with adaptive parameters"
initial_simplex: set this when you don't wish to use the default generation method. It must have dimension + 1 elements. When setting this element, initial_point will be ignored.
tol_fun, tol_x, max_iter, max_fun_evals: parameters for the termination of the process.

See the paper for a detailed description of the algorithm, including the termination criteria.

This project is released into the Public Domain.

YibaiMeng/nelder-mead

Nelder Mead in C++