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Figure 3-3 The steps of the Nelder-Mead algorithm<br />

The Nelder-Mead steps include: reflection, expansion, (inside and outside) contraction and shrink. The<br />

figure was extracted from http://www.math.uiuc.edu/documenta/vol-ismp/42_wright-margaret.pdf<br />

3.2.4 Box Constrained Simplex Algorithm<br />

The Box complex algorithm (Box, 1965) is a derivative-free method used for<br />

nonlinear constrained optimisation. Unlike the other direct search methods of Section<br />

3.2.3, which are solely applied to unconstrained optimisation problems, Box extended<br />

the functionality of the algorithm by Spendley et al. (1962) by explicitly incorporating<br />

bounds and/or nonlinear inequality constraints into the search space via a constrained<br />

simplex, namely the “complex”. Similar to the Nelder-Mead simplex, a complex in<br />

is a flexible mathematical figure in dimensions made up of at least<br />

vertices, where is the total number of variables; the use of vertices is<br />

recommended by Box. Each point’s coordinates in the complex correspond to<br />

individual variables of the objective function. The complex moves around the solution<br />

space by expanding or contracting in any direction as long as it is feasible. The Box<br />

complex algorithm solves the following constrained minimisation problem<br />

Equation 19 Box complex algorithm<br />

64

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