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Rewrote the header documentation of simplex_optimization_routine.

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Stéphane Adjemian (Charybdis) 2013-11-16 20:13:08 +01:00
parent 49def96bed
commit c8d77b204c
1 changed files with 16 additions and 13 deletions
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29
matlab/simplex_optimization_routine.m
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function [x,fval,exitflag] = simplex_optimization_routine(objective_function,x,options,varargin)
% Nelder-Mead like optimization routine.
% By default, we use standard values for the reflection, the expansion, the contraction and the shrink coefficients (alpha = 1, chi = 2, psi = 1 / 2 and σ = 1 / 2).
% See http://en.wikipedia.org/wiki/Nelder-Mead_method
% Nelder-Mead like optimization routine (see http://en.wikipedia.org/wiki/Nelder-Mead_method)
%
% This routine uses the Nelder-Mead simplex (direct search) method.
% As chaining could reveal interesting to reach the solution neighborhood,
% the function automatically restarts from the current solution while
% amelioration is possible.
% By default the standard values for the reflection, the expansion, the contraction
% and the shrink coefficients are used (alpha = 1, chi = 2, psi = 1 / 2 and σ = 1 / 2).
%
% INPUTS
% objective_function [string] Name of the objective function to be minimized.
% x [double] n*1 vector, starting guess of the optimization routine.
% options [structure]
%
% OUTPUTS
% The routine automatically restarts from the current solution while amelioration is possible.
%
% INPUTS
% o objective_function [string] Name of the objective function to be minimized.
% o x [double] n*1 vector, starting guess of the optimization routine.
% o options [structure] Options of this implementation of the simplex algorithm.
% o varargin [cell of structures] Structures to be passed to the objective function: dataset_,
% options_, M_, estim_params_, bayestopt_, and oo_.
%
% OUTPUTS
% o x [double] n*1 vector, estimate of the optimal inputs.
% o fval [double] scalar, value of the objective at the optimum.
% o exitflag [integer] scalar equal to 0 or 1 (0 if the algorithm did not converge to
% a minimum).
% Copyright (C) 2010-2013 Dynare Team
%