R port of the Scilab optimsimplex module


The goal of this package is to provide a building block for optimization algorithms based on a simplex. The optimsimplex package may be used in the following optimization methods:

  • the simplex method of Spendley et al.,

  • the method of Nelder and Mead,

  • the Box's algorithm for constrained optimization,

  • the multi-dimensional search by Torczon,

  • etc ...

Features The following is a list of features currently provided:

  • Manage various simplex initializations

    • initial simplex given by user,

    • initial simplex computed with a length and along the coordinate axes,

    • initial regular simplex computed with Spendley et al. formula,

    • initial simplex computed by a small perturbation around the initial guess point,

    • initial simplex computed from randomized bounds.

  • sort the vertices by increasing function values,

  • compute the standard deviation of the function values in the simplex,

  • compute the simplex gradient with forward or centered differences,

  • shrink the simplex toward the best vertex,

  • etc...


Package: optimsimplex
Type: Package
Version: 1.0-5
Date: 2014-02-01
License: CeCILL-2
LazyLoad: yes

See vignette('optimsimplex',package='optimsimplex') for more information.


Author of Scilab optimsimplex module: Michael Baudin (INRIA - Digiteo)

Author of R adaptation: Sebastien Bihorel (sb.pmlab@gmail.com)

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