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 <email@example.com>|
|License||GPL-2 | GPL-3|
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...