An implementation of Nelder-Mead algorithm for function optimization
Implements method as described in Wikipedia and uses some tests from the original publication:
A simplex method for function minimization J. A. Nelder and R. Mead
val minimize :
?tol:float ->
?maxit:int ->
?debug:bool ->
f:(float array -> float) ->
sample:(unit -> float array) ->
unit ->
float * float array * intMinimizes cost function f. sample function must return a vector of initial parameters. Returns the minimum value of f, the vector of optimized parameters, and the number of iterations.