XploRe Help : nmmin

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	nummath
See also:	nmBFGS

Quantlet:		nmmin
Description:		Nelder-Mead simplex method to find minimum of a given function.

Usage:	`{xmin,fmin,iter} = nmmin(func,x0{,maxiter, ftol, vtol})`
Input:
	`func`	string, name of the function to minimize
	`x0`	n x 1 vector, initial estimate of minimum
	`maxiter`	(optional) scalar, maximal number of iterations default is maxiter = 500
	`ftol`	(optional) scalar, convergence tolerance of the function value default is ftol = 1e-7
	`vtol`	(optional) scalar, convergence tolerance of the value of the arguments; default is vtol = 1e-7
Output:
	`xmin`	n x 1 vector, minimum of the function
	`fmin`	scalar, minimal function value
	`iter`	scalar, number of performed iterations

Example:

proc(p)=ftion(x) p= log(4+abs(x[1,]+2)+abs(x[2,]-3)) endp library("nummath") nmmin("ftion",#(1,2))

Result:

Contents of _tmp.xmin
[1,]       -2
[2,]        3
Contents of _tmp.fmin
[1,]   1.3863
Contents of _tmp.iter
[1,]       63

Author: S. Borak, R. Weron 20030225 license MD*Tech