Appendix D: Downhill Simplex Algorithm

This algorithm is based on a simplex, the simplest volume in the N-dimensional

parameter area, which is stretched from N 1 points. Given a continuous function
y f(x
1
, . . ., x
N
) of Nvariables x {x
1
, . . ., x
N
}. The goal is to nd a local minimumy
m
of this function with corresponding variables x
m
. For that purpose, we construct a
simplex of N 1 points with vectors x
1
, . . ., x
N
, x
N1
, with x
i
x
0
le
i
.
The procedure is nowas follows. After having generated the start simplex, the best
point (y
min
, x
min
), the worst point (y
max
, x
max
), and the second-worst point (y
v
, x
v
) are
determined. Then, the mirror center
x
s

1
N
X
x
i
6x
max
x
i
D:1
is determined from all points except the worst point. The rst step to generate a new
simplex with lower volume is the reection of the worst point at the mirror center:
x
r
x
s
a x
max
x
s
: D:2
There are three other methods to construct a new simplex:
.
the expansion to accelerate the reduction of the simplex to a simplex of smaller
volume,
.
the contraction to keep the simplex small, and
.
the compression around the actual best point.
All four methods are used repeatedly until the best point is obtained. Figure D.1
illustrates all four steps for a three point simplex from N2 parameters.
After the rst reection, the expansion point
x
e
x
s
c x
r
x
s
: D:3
is determined and compared with (y
r
, x
r
) to determine the next steps. The following
ow chart in Figure D.2 illustrates the complete algorithm.
The coordinate changes of the parameters during the used steps are made using
the NelderMead parameters a, b, and c, usually set to 1, 0.5, and 2. The iterationis as
long resumed until a convergence criterion is fullled. The procedure converges
approximately linear and is thus not extremely fast but durable.
A Practical Guide to Optical Metrology for Thin Films, First Edition. Michael Quinten.
2013 Wiley-VCH Verlag GmbH & Co. KGaA. Published 2013 by Wiley-VCH Verlag GmbH & Co. KGaA.
j199
(b) (a)
mirror
point
(d) (c)
Figure D.1 Illustration of the four methods in the downhill simplex method to define newpoints of
the simplex. (a) Reflection, (b) expansion, (c) contraction, and (d) compression.
REFLECTION
y
r
< y
min
EXPANSION
y
e
< y
r
y
r
< y
v
y
r
< y
max
CONTRACTION
y
c
< y
max
(x
r
, y
r
)(x
max
, y
max
)
(x
r
, y
r
)(x
max
, y
max
) (x
c
, y
c
)(x
max
, y
max
)
COMPRESSION
(x
e
, y
e
)(x
max
, y
max
)
MINIMUM REACHED
RETURN TO MAIN
PROCESS
no
no
no
no
no
no
yes
yes
yes
yes
yes
yes
Figure D.2 Flowchart of the downhill simplex algorithm.
200j Appendix D: Downhill Simplex Algorithm