RSCS: a parallel simplex algorithm for the Nimrod/O optimization toolset

Abstract

This paper describes a method of parallelisation of the popular Nelder-Mead simplex optimization algorithms that can lead to enhanced performance on parallel and distributed computing resources. A reducing set of simplex vertices are used to derive search directions generally closely aligned with the local gradient. When tested on a range of problems drawn from real-world applications in science and engineering, this reducing set concurrent simplex (RSCS) variant of the Nelder-Mead algorithm compared favourably with the original algorithm, and also with the inherently parallel multidirectional search algorithm (MDS). All algorithms were implemented and tested in a general-purpose, grid-enabled optimization toolset.