Stochastic Nelder-Mead simplex method - A new globally convergent direct search method for simulation optimization

► A new direct search method, SNM, is developed for simulation optimization. ► With the developed sample size scheme, SNM can handle noises effectively. ► Without requiring gradient estimation, SNM can handle nonsmooth response functions. ► We prove that SNM has attractive global convergence property. ► Numerical experiments show that the performance of SNM is promising.