Issues of Nelder-Mead Simplex Optimisation with Constraints

7 Pages Posted: 2 Jul 2012

Date Written: January 2, 2012

Abstract

The Nelder-Mead downhill simplex method is a very popular minimiser, often used in finance. However in practice, a lot of problems need to be solved according to some specific constraints, for example, boundaries on the possible values. We will look at various ways to add those constraints, and show how problematic it can be to minimize simple quadratics under constraints.

Keywords: Finance, Non-Linear Optimisation, Nelder-Mead, Downhill Simplex

Suggested Citation

Le Floc'h, Fabien, Issues of Nelder-Mead Simplex Optimisation with Constraints (January 2, 2012). Available at SSRN: https://ssrn.com/abstract=2097904 or http://dx.doi.org/10.2139/ssrn.2097904

Fabien Le Floc'h (Contact Author)

Calypso Technology ( email )

106 rue de la Boetie
Paris, 75008
France

Independent ( email )

France

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