Nelder-Mead Method

A python implementation of the Nelder-Mead method for gradient free optimization.

Example Usage:

import numpy as np
from neldermead import NelderMead

def rosenbrock(x):
    return 100*(x[1] - x[0]**2)**2 + (1 - x[0])**2

nelder = NelderMead()
x0 = np.array([0., 0.])
res = nelder.minimize(rosenbrock, x0, 100)
print(res) # {'x': array([1., 1.]), 'iteration': 96}

References

• Original paper by J. A. Nelder and R. Mead A simplex method for function minimization