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FindMinimum

• To: mathgroup at smc.vnet.net
• Subject: [mg22112] FindMinimum
• From: "Johannes Ludsteck" <ludsteck at zew.de>
• Date: Wed, 16 Feb 2000 02:34:28 -0500 (EST)
• Organization: Zentr. f. Europ. Wirtschaftsforsch
• Sender: owner-wri-mathgroup at wolfram.com

Dear Mathgroup Members,
I have to minimize a function which is continuous but not smooth.
Someone suggested to use the flexible polyhedron search method 
by Nelder and Mead.
The FindMinimum[] function in Mathematica doesn't use this 
method, but seems to do the job well if I force use of the secant 
method by givind two starting points for each variable.
Since the features of FindMinimum are not documented very well, I 
wonder whether FindMinimum guarantees to find at least a local 
minimum in my case.

In case you are interested in the function:  

Plus @@ Abs[y - max[Dot[x, b], 0]],

where y is a vector, x a matrix and b a vector. b contains the 
miminization arguments.


Johannes Ludsteck
Centre for European Economic Research (ZEW)
Department of Labour Economics,
Human Resources and Social Policy
Phone (+49)(0)621/1235-157
Fax (+49)(0)621/1235-225

P.O.Box 103443
D-68034 Mannheim
GERMANY

Email: ludsteck at zew.de

• Follow-Ups:
  • Re: FindMinimum
    • From: Daniel Lichtblau <danl@wolfram.com>