Nelder-Mead

Abstract

In 1965, John Nelder and Roger Mead published a short (6 pages) note on a new method for unconstrained minimisation. The resulting algorithm has become one of the most widely applied and researched optimization algorithms in the world. Originally, Nelder and Mead titled their method the “Simplex Method”, as the method hinged around using function evaluations at the vertices of a simplex to seek a minimiser. Of course, in the world of optimization, the name “Simplex Method” was already in use – referring to Dantzig’s method algorithm for solving Linear Programs. Thus, in order to avoid confusion, the method became known as the Nelder-Mead (NM) method.