Simple Unconstrained Optimization Method

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This Demonstration shows the simple one-dimensional unconstrained maximization algorithm for finding the (local) maximum of the function near the starting value . It is a nongradient method and it requires only the starting value and the initial step value .

Contributed by: Marko Petkovic (April 2013)
Open content licensed under CC BY-NC-SA


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Details

Assume that the function has a single local maximum on the interval . For the given real numbers and , construct the sequences and in the following way:

.

It can be proved that the sequence converges to . The method is simple and easy to implement. It does not require the differentiability of the function nor any additional condition on and . This method is also known as simplex method I and has a linear convergence.



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