Optimization::Method::NelderMead class
#include </home/runner/work/statmod-20-cpp/statmod-20-cpp/lib/optimization/include/method.hpp>

Nelder-Mead optimization method.

Contents

Constructors, destructors, conversion operators

NelderMead() defaulted
NelderMead(std::function<double(Eigen::VectorXd)> _function, MyMath::Box _search_space, Eigen::VectorXd _initial_point, double _initial_simplex_step)

Public functions

auto next() -> MyMath::PointVal

Public variables

std::function<double(Eigen::VectorXd)> function
Function to optimize.
MyMath::Box search_space
Search space.
Eigen::VectorXd initial_point
Initial point of optimization.
MyMath::PointVal current_best
Current best point.
std::vector<std::pair<Eigen::VectorXd, double>> simplex
Current simplex (used internally in optimization)
double initial_simplex_step
Step which is used to create initial simplex.