Description

The subplex package implements Tom Rowan's subspace-searching simplex algorithm for unconstrained minimization of a function.

Details

Subplex is a subspace-searching simplex method for the unconstrained optimization of general multivariate functions. Like the Nelder-Mead simplex method it generalizes, the subplex method is well suited for optimizing noisy objective functions. The number of function evaluations required for convergence typically increases only linearly with the problem size, so for most applications the subplex method is much more efficient than the simplex method.

Subplex was written in FORTRAN by Tom Rowan (Oak Ridge National Laboratory). The FORTRAN source code is maintained on the netlib repository (netlib.org).

Author(s)

Aaron A. King (kingaa at umich dot edu)

References

T. Rowan, "Functional Stability Analysis of Numerical Algorithms", Ph.D. thesis, Department of Computer Sciences, University of Texas at Austin, 1990.

See Also

subplex, optim