Issues of Nelder-Mead Simplex Optimisation with Constraints
7 Pages Posted: 2 Jul 2012
Date Written: January 2, 2012
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
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