I am currently converting a minimization problem from Matlab to C++, using the Numerical Recipes implementation of the Nelder and Mead Downhill simplex method. The function requires me to define a constant lambda for each variable, which represents the "characteristic length scale" of the variable.
I tried to find a more formal definition of what the authors mean by this, and how to choose one, but couldn't find anything. I'm guessing it's something of a "choose something that looks like a reasonable step size for that variable and hope that it converges fast enough; otherwise, try something else". Any pointers to something a little bit more scientific?