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nmsmax

PURPOSE ^

NMSMAX Nelder-Mead simplex method for direct search optimization.

SYNOPSIS ^

function [x, fmax, nf] = nmsmax(fun, x, stopit, savit, varargin)

DESCRIPTION ^

NMSMAX  Nelder-Mead simplex method for direct search optimization.
        [x, fmax, nf] = NMSMAX(FUN, x0, STOPIT, SAVIT) attempts to
        maximize the function FUN, using the starting vector x0.
        The Nelder-Mead direct search method is used.
        Output arguments:
               x    = vector yielding largest function value found,
               fmax = function value at x,
               nf   = number of function evaluations.
        The iteration is terminated when either
               - the relative size of the simplex is <= STOPIT(1)
                 (default 1e-3),
               - STOPIT(2) function evaluations have been performed
                 (default inf, i.e., no limit), or
               - a function value equals or exceeds STOPIT(3)
                 (default inf, i.e., no test on function values).
        The form of the initial simplex is determined by STOPIT(4):
           STOPIT(4) = 0: regular simplex (sides of equal length, the default)
           STOPIT(4) = 1: right-angled simplex.
        Progress of the iteration is not shown if STOPIT(5) = 0 (default 1).
           STOPIT(6) indicates the direction (ie. minimization or 
                   maximization.) Default is 1, maximization.
                   set STOPIT(6)=-1 for minimization
        If a non-empty fourth parameter string SAVIT is present, then
        `SAVE SAVIT x fmax nf' is executed after each inner iteration.
        NB: x0 can be a matrix.  In the output argument, in SAVIT saves,
            and in function calls, x has the same shape as x0.
        NMSMAX(fun, x0, STOPIT, SAVIT, P1, P2,...) allows additional
        arguments to be passed to fun, via feval(fun,x,P1,P2,...).

CROSS-REFERENCE INFORMATION ^

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