Modifications of the Nelder-Mead simplex method for stochastic simulation response optimization

Author

Barton, Russell R. ; Ivey, John S., Jr.

Author_Institution

Dept. of Ind. & Manage. Syst. Eng., Pennsylvania State Univ., University Park, PA, USA

fYear

1991

fDate

8-11 Dec 1991

Firstpage

945

Lastpage

953

Abstract

It is pointed out that the Nelder-Mead simplex method rescaling and shrinking steps make it sensitive to random variations in the response function values, and introduce risks of false convergence on stochastic functions. The authors give analytical and empirical evidence that characterizes false convergence on stochastic functions, and discuss several modifications to reduce the likelihood of false convergence. They describe a computational comparison of several modifications when used to optimize simple stochastic functions of two and ten variables

Keywords

optimisation; simulation; stochastic processes; Nelder-Mead simplex method; computational comparison; false convergence; rescaling; response function values; shrinking steps; stochastic functions; stochastic simulation response optimization; Ash; Chemistry; Computational modeling; Convergence; Discrete event simulation; Engineering management; Nervous system; Optimization methods; Stochastic processes; Systems engineering and theory;

fLanguage

English

Publisher

ieee

Conference_Titel

Simulation Conference, 1991. Proceedings., Winter

Conference_Location

Phoenix, AZ

Print_ISBN

0-7803-0181-1

Type

conf

DOI

10.1109/WSC.1991.185709

Filename

185709