DiceOptim: Kriging-Based Optimization for Computer Experiments

Efficient Global Optimization (EGO) algorithm and adaptations for parallel infill (multipoint EI), problems with noise, and problems with constraints.

Author
V. Picheny, D. Ginsbourger, O. Roustant, with contributions by M. Binois, C. Chevalier, S. Marmin, and T. Wagner
Date of publication
2016-09-15 17:33:46
Maintainer
V. Picheny <victor.picheny@toulouse.inra.fr>
License
GPL-2 | GPL-3
Version
2.0
URLs

View on CRAN

Man pages

AEI
Augmented Expected Improvement
AEI.grad
AEI's Gradient
AKG
Approximate Knowledge Gradient (AKG)
AKG.grad
AKG's Gradient
branin2
2D test function
checkPredict
Prevention of numerical instability for a new observation
crit_AL
Expected Augmented Lagrangian Improvement
critcst_optimizer
Maximization of constrained Expected Improvement criteria
crit_EFI
Expected Feasible Improvement
crit_SUR_cst
Stepwise Uncertainty Reduction criterion
DiceOptim-package
Kriging-based optimization methods for computer experiments
easyEGO.cst
EGO algorithm with constraints
EGO.cst
Sequential constrained Expected Improvement maximization and...
EGO.nsteps
Sequential EI maximization and model re-estimation, with a...
EI
Analytical expression of the Expected Improvement criterion
EI.grad
Analytical gradient of the Expected Improvement criterion
EQI
Expected Quantile Improvement
EQI.grad
EQI's Gradient
fastfun
Fastfun function
fastfun-class
Class for fast to compute objective.
goldsteinprice
2D test function
hartman4
4D test function
integration_design_cst
Generic function to build integration points (for the SUR...
kriging.quantile
Kriging quantile
kriging.quantile.grad
Analytical gradient of the Kriging quantile of level beta
max_AEI
Maximizer of the Augmented Expected Improvement criterion...
max_AKG
Maximizer of the Expected Quantile Improvement criterion...
max_EI
Maximization of the Expected Improvement criterion
max_EQI
Maximizer of the Expected Quantile Improvement criterion...
max_qEI
Maximization of multipoint expected improvement criterion...
min_quantile
Minimization of the Kriging quantile.
noisy.optimizer
Optimization of homogenously noisy functions based on Kriging
ParrConstraint
2D constraint function
qEGO.nsteps
Sequential multipoint Expected improvement (qEI)...
qEI
Analytical expression of the multipoint expected improvement...
qEI.grad
Gradient of the multipoint expected improvement (qEI)...
rosenbrock4
4D test function
sampleFromEI
Sampling points according to the expected improvement...
sphere6
6D sphere function
test_feas_vec
Test constraints violation (vectorized)
update_km_noisyEGO
Update of one or two Kriging models when adding new...

Files in this package

DiceOptim
DiceOptim/src
DiceOptim/src/davies.c
DiceOptim/NAMESPACE
DiceOptim/R
DiceOptim/R/test_feas_vec.R
DiceOptim/R/qEGO.nsteps.R
DiceOptim/R/ParrConstraint.R
DiceOptim/R/update_km_noisyEGO.R
DiceOptim/R/AEI.R
DiceOptim/R/computeQuickKrigcov2.R
DiceOptim/R/checkPredict.R
DiceOptim/R/max_qEI.R
DiceOptim/R/noisy.optimizer.R
DiceOptim/R/precomputeUpdateData.R
DiceOptim/R/EQI.R
DiceOptim/R/crit_SUR_cst.R
DiceOptim/R/max_EQI.R
DiceOptim/R/AEI.grad.R
DiceOptim/R/qEI.R
DiceOptim/R/goldsteinprice.R
DiceOptim/R/rosenbrock4.R
DiceOptim/R/max_AKG.R
DiceOptim/R/branin2.R
DiceOptim/R/EI.R
DiceOptim/R/EQI.grad.R
DiceOptim/R/qEI.grad.R
DiceOptim/R/hartman4.R
DiceOptim/R/AKG.R
DiceOptim/R/max_EI.R
DiceOptim/R/EI.grad.R
DiceOptim/R/crit_EFI.R
DiceOptim/R/fastfun.R
DiceOptim/R/integration_design_cst.R
DiceOptim/R/crit_AL.R
DiceOptim/R/EGO.nsteps.R
DiceOptim/R/critcst_optimizer.R
DiceOptim/R/DiceOptim-package.R
DiceOptim/R/EGO.cst.R
DiceOptim/R/davies.R
DiceOptim/R/prob.of.feasible.improvement.R
DiceOptim/R/max_AEI.R
DiceOptim/R/min_quantile.R
DiceOptim/R/easyEGO.cst.R
DiceOptim/R/AKG.grad.R
DiceOptim/R/sampleFromEI.R
DiceOptim/R/kriging.quantile.R
DiceOptim/R/kriging.quantile.grad.R
DiceOptim/R/sphere6.R
DiceOptim/MD5
DiceOptim/DESCRIPTION
DiceOptim/man
DiceOptim/man/EI.Rd
DiceOptim/man/DiceOptim-package.Rd
DiceOptim/man/noisy.optimizer.Rd
DiceOptim/man/EGO.cst.Rd
DiceOptim/man/branin2.Rd
DiceOptim/man/sampleFromEI.Rd
DiceOptim/man/qEI.grad.Rd
DiceOptim/man/hartman4.Rd
DiceOptim/man/crit_SUR_cst.Rd
DiceOptim/man/update_km_noisyEGO.Rd
DiceOptim/man/crit_EFI.Rd
DiceOptim/man/kriging.quantile.grad.Rd
DiceOptim/man/EI.grad.Rd
DiceOptim/man/AKG.grad.Rd
DiceOptim/man/EQI.grad.Rd
DiceOptim/man/max_AEI.Rd
DiceOptim/man/EGO.nsteps.Rd
DiceOptim/man/easyEGO.cst.Rd
DiceOptim/man/goldsteinprice.Rd
DiceOptim/man/max_EI.Rd
DiceOptim/man/AKG.Rd
DiceOptim/man/fastfun-class.Rd
DiceOptim/man/crit_AL.Rd
DiceOptim/man/kriging.quantile.Rd
DiceOptim/man/EQI.Rd
DiceOptim/man/critcst_optimizer.Rd
DiceOptim/man/integration_design_cst.Rd
DiceOptim/man/qEGO.nsteps.Rd
DiceOptim/man/max_EQI.Rd
DiceOptim/man/rosenbrock4.Rd
DiceOptim/man/fastfun.Rd
DiceOptim/man/max_AKG.Rd
DiceOptim/man/min_quantile.Rd
DiceOptim/man/AEI.grad.Rd
DiceOptim/man/checkPredict.Rd
DiceOptim/man/qEI.Rd
DiceOptim/man/AEI.Rd
DiceOptim/man/test_feas_vec.Rd
DiceOptim/man/max_qEI.Rd
DiceOptim/man/ParrConstraint.Rd
DiceOptim/man/sphere6.Rd