Re: time-series smoothing

From: Jake (wh_at_ever.com)
Date: 03/22/05 

Date: Mon, 21 Mar 2005 18:23:42 -0800

"A.G.McDowell" wrote:
>
> In article <4239ACF1.55B96907@ever.com>, Jake <wh@ever.com> writes
> >I have a problem of an apparent cross-disciplinary nature so I hope that
> >justifies the cross-posting.
> >
> (trimmed)
> >
> >2] Would it make sense to use Nelder-Mead (downhill simplex) method for
> >minimizing, even though this problem seems to be a constrained
> >optimization? There are three parameters, all constrained to positive
> >values and one constrained to integer values, so differentiation doesn't
> >seem to be an option. Is there a better derivative-free optimizer for
> >this problem? Is there a differentiation method that would work better,
> >even for a function that is only partially differentiable?
> >
> I note that the Nelder-Mean algorithm is mentioned in Numerical Recipes
> to need restarting in practice and is now known to sometimes fail to
> converge (google on Nelder simplex counter-example yields e.g.
> http://portal.acm.org/citation.cfm?id=589108: the body of the text
> requires a subscription, but the abstract is accessible to all). Torczon
> has provided a variety of convergence proofs for direct search
> algorithms, one of which looks like a variant of the Nelder-Mead
> algorithm: googling on Torczon Simplex yields http://www.cs.wm.edu/~va/r
> esearch/, which includes a paper "On the convergence of the
> multidirectional search algorithm".

Thank you, A.G.

>
> Are these methods destined to replace Nelder-Mead? Nice Theoretical
> curiosities? Something in between?
> --
> A.G.McDowell

Relevant Pages

  • Re: time-series smoothing
    ... Is there a differentiation method that would work better, ... I note that the Nelder-Mean algorithm is mentioned in Numerical Recipes ... Are these methods destined to replace Nelder-Mead? ...
    (sci.math.num-analysis)
  • Re: time-series smoothing
    ... Is there a differentiation method that would work better, ... I note that the Nelder-Mean algorithm is mentioned in Numerical Recipes ... Are these methods destined to replace Nelder-Mead? ...
    (sci.stat.edu)
  • Re: time-series smoothing
    ... Is there a differentiation method that would work better, ... > I note that the Nelder-Mean algorithm is mentioned in Numerical Recipes ... one of which looks like a variant of the Nelder-Mead ... > multidirectional search algorithm". ...
    (sci.math.num-analysis)
  • Re: time-series smoothing
    ... >I note that the Nelder-Mean algorithm is mentioned in Numerical Recipes ... >has provided a variety of convergence proofs for direct search ... one of which looks like a variant of the Nelder-Mead ...
    (sci.math.num-analysis)
  • Re: time-series smoothing
    ... >I note that the Nelder-Mean algorithm is mentioned in Numerical Recipes ... >has provided a variety of convergence proofs for direct search ... one of which looks like a variant of the Nelder-Mead ...
    (sci.stat.edu)