Workiva/go-datastructures — pull request #26 by dustinhiatt-wf (2014-12-29 22:30:33+00:00)
Title: Nelder mead

CODE REVIEW

Just wanted to get this up but further improvements are coming. This implements a Nelder Mead convergence algorithm as long as you are converging to a point. I was hoping this would work with math.Inf as well (thereby finding min and max) but the diffs get lost in the subtraction involving math.MaxFloat64. I'll have to implement a separate code path for min and max.

Nelder Mead implemented as seen here: http://www.webpages.uidaho.edu/~fuchang/res/anms.pdf

Going to use that same paper to make the scalars adaptive. When that's done, I'm going to implement constraints as seen here: http://www.emse.fr/~leriche/GBNM_SMO_1026_final.pdf

Finally, can use the algorithm seen there and here: http://www.iccm-central.org/Proceedings/ICCM16proceedings/contents/pdf/MonK/MoKA1-04ge_ghiasimh224461p.pdf

to attempt and ensure any result is global (which Excel doesn't do I don't believe).

@tannermiller-wf @beaulyddon-wf @alexandercampbell-wf @stevenosborne-wf @tylertreat-wf @ericolson-wf @rosshendrickson-wf