A Stochastic Convergence Result for the Nelder–Mead Simplex Method

Aurél Galántai ()
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Aurél Galántai: Óbuda University, 1034 Budapest, Hungary

Mathematics, 2023, vol. 11, issue 9, 1-12

Abstract: We prove that the Nelder–Mead simplex method converges in the sense that the simplex vertices converge to a common limit point with a probability of one. The result may explain the practical usefulness of the Nelder–Mead method.

Keywords: Nelder–Mead simplex method; convergence; stochastic convergence (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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