Simple Metaheuristics Using the Simplex Algorithm for Non-linear Programming
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In this paper we present an extension of the Nelder and Mead simplex algorithm for non-linear programming, which makes it suitable for both unconstrained and constrained optimisation. We then explore several extensions of the method for escaping local optima, which make it a simple, yet powerful tool for optimisation of nonlinear functions with many local optima.
A strategy which proved to be extremely robust was random start local search, with a correct, though unusual, setup. Actually, for some of the benchmarks, this simple metaheuristic remained the most effective one. The idea is to use a very large simplex at the begin; the initial movements of this simplex are very large, and therefore act as a kind of filter, which naturally drives the search into good areas.
We propose two more mechanisms for escaping local optima, which, still being very simple to implement, provide better results for some difficult problems.
KeywordsLocal Search Local Optimum Tabu Search Simplex Algorithm Direct Search Method
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