SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
thomasrap
Topic Author
Posts: 39
Joined: January 30th, 2010, 6:01 pm

Nelder Mead with 3 variables

December 20th, 2011, 4:12 pm

Hey I am using Nelder Mead with 3 variables. Is there anyone with experience doing this?My question is if there are other ways that using Powell?s Method?Just write me
 
User avatar
Culverin
Posts: 57
Joined: May 17th, 2012, 5:18 am

Nelder Mead with 3 variables

June 13th, 2012, 5:03 am

matlab can do Nelder-Mead by one function call (probably fminsearch?)... However, things get tricky if you have 3 or more variables.You could try sequential quad prog.
 
User avatar
logos01
Posts: 67
Joined: August 12th, 2009, 1:18 pm

Nelder Mead with 3 variables

July 5th, 2012, 10:43 am

What do you mean by three variables? Nelder-Mead is not limited to any number of variables. It just won't work that well on high dimensional problems. There are some variations to use a polytope instead of a simplex:Box "A new method of constrained optimization and a comparison with other methods"
 
User avatar
quantmeh
Posts: 5974
Joined: April 6th, 2007, 1:39 pm

Nelder Mead with 3 variables

July 9th, 2012, 9:04 pm

QuoteOriginally posted by: logos01What do you mean by three variables? Nelder-Mead is not limited to any number of variables. he probably means that coding in matlab for > 3 vars becomes cumbersome
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On