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If the objective function contains $n$ variables (e.g. $f(x_1, ..., x_n)$) in the Nelder-Mead algorithm (or other direct search methods), is there any known lower/upper bounds on how many times the algorithm needs to evaluate $f$ to achieve the desired value by precision $\epsilon$?

For instance, suppose $f(x_1,x_2) = \text{Tr}(x_1x_2)$ is defined on $2$-dimensional parameters $(x_1,x_2) \in R^2$, where $-1 \leq x_1, x_2 \leq 1$. Starting from random sets of parameters of $v = (v_1, v_2), w = (w_1, w_2), y = (y_1, y_2)$, the Nelder-Mead algorithm starts from a triangle in 2D and evaluate $f(v), f(w), f(y)$ and either reflect/expand/contract/shrink, and repeat the procedure until it converges to desired values of $|f_{target} - f| \leqslant \epsilon$. Is there theoretical bounds on how many times the algorithm evaluate $f$ until the convergence is taken?

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There are no guarantees. In the worst case, if the function $f$ is particularly unfriendly, any optimization algorithm might need to evaluate $f$ on every possible combination of values, to find the optimum. (Consider a function $f$ that is zero on all points except for a single point, where it is very large or very small.) So, in effect, there are no bounds on the number of evaluations of $f$ needed.

With some optimization algorithms, one can obtain some bounds if we have additional conditions on $f$ (e.g., that it is Lipschitz), but my sense is that these bounds are typically not terribly useful in practice.

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  • $\begingroup$ Thanks. I'm looking into arxiv.org/pdf/1410.0390.pdf this morning, which seems to give $O(n^2/\epsilon^2)$ as the bound for minimizing gradient-free direct search algorithm for convex cost function. $\endgroup$
    – Jon Megan
    Apr 24 at 22:40
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    $\begingroup$ @JonMegan, Yup! Looks like the kind of theoretical result I was thinking of. These papers need to be read carefully -- you may have overlooked some additional assumptions made in that paper. In particular, they assume that $f$ is Lipschitz (see Section 2). See the last paragraph of my answer for my comments on that style of result. $\endgroup$
    – D.W.
    Apr 24 at 23:11
  • $\begingroup$ I get it, thank you. I'm just wondering on the L-smooth function: do all smooth functions also $L$-smooth function? The reason I'm asking this is basically I have this form of function that I know it's smooth (i.e. differentiable in all domain) but I'm wondering how to prove the function is $L$-smooth, and if the statement above is true, then I can skip this proof and directly use the result from the paper. $\endgroup$
    – Jon Megan
    Apr 25 at 23:37
  • $\begingroup$ @JonMegan, I don't know whether all smooth functions are Lipschitz, but it looks like the answer might be no (please investigate and verify for yourself): en.wikipedia.org/wiki/Lipschitz_continuity#Examples, math.stackexchange.com/q/2552893/14578 $\endgroup$
    – D.W.
    Apr 26 at 6:24
  • $\begingroup$ Thanks, I agree that smooth functions are not Lipschitz, but am wondering if smooth functions are Lipschitz continuous gradient. I'll examine by myself. I have one more additional question: in the Table 1 in the paper above, do you know why the goal for nonconvex function is not $||f(x) - f(x^*)|| \leq \epsilon$ but rather $||\nabla f(x) || \leq \epsilon$? $\endgroup$
    – Jon Megan
    Apr 26 at 17:18

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