ESL2D | R Documentation |
This function fits an SVD-based GP model on the
training dataset design
and response matrix resp
, and
minimizes the expected squared L_{2} discrepancy on the
test set candidate
to estimate the solution to the inverse
problem. The details are provided in Chapter 4 of Zhang (2018).
ESL2D(design,resp,yobs,candidate,frac=.95,nstarts=5, mtype=c("zmean","cmean","lmean"), gstart=0.0001)
design |
An N by d matrix of N training/design inputs. |
resp |
An L by N response matrix of |
yobs |
A vector of length L of the time-series valued field observations or the target response. |
candidate |
An M by d matrix of M candidate points on which the estimated solution to the inverse problem is extracted. |
frac |
The threshold in the cumulative percentage criterion to select the number of SVD bases. The default value is 0.95. |
nstarts |
The number of starting points used in the numerical maximization of
the posterior density function. The larger |
mtype |
The type of mean functions for the GP models. The choice "zmean" denotes zero-mean, "cmean" indicates constant-mean, "lmean" indicates linear-mean. The default choice is "zmean". |
gstart |
The starting number and upper bound for estimating the
nugget parameter. If |
xhat |
The estimated solution to the inverse problem obtained from the
candidate set |
.
Ru Zhang heavenmarshal@gmail.com,
C. Devon Lin devon.lin@queensu.ca,
Pritam Ranjan pritamr@iimidr.ac.in
Zhang, R. (2018) Modeling and Analysis of Dynamic Computer Experiments, PhD thesis, Queen's University, ON, Canada.
SL2D
, saEI
, svdGP
.
library("lhs") forretal <- function(x,t,shift=1) { par1 <- x[1]*6+4 par2 <- x[2]*16+4 par3 <- x[3]*6+1 t <- t+shift y <- (par1*t-2)^2*sin(par2*t-par3) } timepoints <- seq(0,1,len=200) design <- lhs::randomLHS(30,3) candidate <- lhs::randomLHS(500,3) candidate <- rbind(candidate,design) ## evaluate the response matrix on the design matrix resp <- apply(design,1,forretal,timepoints) x0 <- runif(3) y0 <- forretal(x0,timepoints) yobs <- y0+rnorm(200,0,sd(y0)/sqrt(50)) xhat <- ESL2D(design,resp,yobs,candidate,nstarts=1) yhat <- forretal(xhat,timepoints) ## draw a figure to illustrate plot(y0,ylim=c(min(y0,yhat),max(y0,yhat))) lines(yhat,col="red")
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