Apache Commons Math optimization

Question

Does anyone have any experience with the Apache Commmons Math optimization package? More specifically, the Nelder-Mead method implementation? Is it pretty high quality?

Answer 1

Nelder-Mead is one of the most popular multivariate optimization algorithm. The Apache implmentation is pretty good.

However, if you have more information, eg, gradient, you should consider using a more "informed" algorithm such as BFGS. It also works with analytical gradient (using finite differencing). R uses BFGS by default, I think...

SuanShu has implemented 10+ Java optimization algorithms that you can choose for your purpose. Hope this helps.

Answer 2

Note that Apache Commons Math also contains Michael Powell's direct search BOBYQA algorithm. This algorithm generally converges in substantially fewer iterations than the classical Nelder-Mead method, plus it also supports bounds on the variables.