j199

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 þ 1 points. Given a continuous function
y ¼ f(x1, . . ., xN) of N variables x ¼ {x1, . . ., xN}. The goal is to find a local minimum ym
of this function with corresponding variables xm. For that purpose, we construct a
simplex of N þ 1 points with vectors x1, . . ., xN, xN þ 1, with xi ¼ x0 þ l
ei.
The procedure is now as follows. After having generated the start simplex, the best
point (ymin, xmin), the worst point (ymax, xmax), and the second-worst point (yv, xv) are
determined. Then, the mirror center
1 X i
xs ¼ x ðD:1Þ
N xi 6¼xmax

is determined from all points except the worst point. The first step to generate a new
simplex with lower volume is the reflection of the worst point at the mirror center:
xr ¼ xs aðxmax xs Þ: ðD:2Þ

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 N ¼ 2 parameters.
After the first reflection, the expansion point
xe ¼ xs cðxr xs Þ: ðD:3Þ

is determined and compared with (yr, xr) to determine the next steps. The following
flow chart in Figure D.2 illustrates the complete algorithm.
The coordinate changes of the parameters during the used steps are made using
the Nelder–Mead parameters a, b, and c, usually set to 1, 0.5, and 2. The iteration is as
long resumed until a convergence criterion is fulfilled. 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.
Ó 2013 Wiley-VCH Verlag GmbH & Co. KGaA. Published 2013 by Wiley-VCH Verlag GmbH & Co. KGaA.
 200 j Appendix D: Downhill Simplex Algorithm

(a) (b)
mirror
point

(c) (d)

Figure D.1 Illustration of the four methods in the downhill simplex method to define new points of
the simplex. (a) Reflection, (b) expansion, (c) contraction, and (d) compression.

REFLECTION

no no yes
yr < ymin yr < yv yr < ymax (xr, yr)→(xmax, ymax)

yes no

EXPANSION CONTRACTION

yes

no no
ye < yr yc < ymax COMPRESSION

yes
yes

(xr, yr)→(xmax, ymax) (xc, yc)→(xmax, ymax)

(xe, ye)→(xmax, ymax)

no yes RETURN TO MAIN

MINIMUM REACHED PROCESS

Figure D.2 Flowchart of the downhill simplex algorithm.