ranjan_optim | R Documentation |
Evaluation of Ranjan's Expected Feasibility criterion. To be used in optimization routines, like in max_infill_criterion
.
ranjan_optim(x, model, T, method.param = 1)
x |
Input vector at which one wants to evaluate the criterion. This argument can be either a vector of size d (for an evaluation at a single point) or a p*d matrix (for p simultaneous evaluations of the criterion at p different points). |
model |
An object of class |
T |
Target value (scalar). |
method.param |
Scalar tolerance around the target T. Default value is 1. |
Ranjan EI criterion.
When the argument x
is a vector the function returns a scalar.
When the argument x
is a p*d matrix the function returns a vector of size p.
Victor Picheny (INRA, Toulouse, France)
David Ginsbourger (IDIAP Martigny and University of Bern, Switzerland)
Clement Chevalier (University of Neuchatel, Switzerland)
Ranjan, P., Bingham, D., Michailidis, G. (2008) Sequential experiment design for contour estimation from complex computer codes Technometrics 50(4), pp 527-541
Bect J., Ginsbourger D., Li L., Picheny V., Vazquez E. (2010), Sequential design of computer experiments for the estimation of a probability of failure, Statistics and Computing, pp.1-21, 2011, https://arxiv.org/abs/1009.5177
EGI
, max_infill_criterion
######################################################################## #ranjan_optim set.seed(9) N <- 20 #number of observations T <- 80 #threshold testfun <- branin #a 20 points initial design design <- data.frame( matrix(runif(2*N),ncol=2) ) response <- testfun(design) #km object with matern3_2 covariance #params estimated by ML from the observations model <- km(formula=~., design = design, response = response,covtype="matern3_2") x <- c(0.5,0.4)#one evaluation of the ranjan criterion ranjan_optim(x=x,T=T,model=model) n.grid <- 20 #you can run it with 100 x.grid <- y.grid <- seq(0,1,length=n.grid) x <- expand.grid(x.grid, y.grid) ranjan.grid <- ranjan_optim(x=x,T=T,model=model) z.grid <- matrix(ranjan.grid, n.grid, n.grid) #plots: contour of the criterion, DOE points and new point image(x=x.grid,y=y.grid,z=z.grid,col=grey.colors(10)) contour(x=x.grid,y=y.grid,z=z.grid,25,add=TRUE) points(design, col="black", pch=17, lwd=4,cex=2) i.best <- which.max(ranjan.grid) points(x[i.best,], col="blue", pch=17, lwd=4,cex=3) #plots the real (unknown in practice) curve f(x)=T testfun.grid <- apply(x,1,testfun) z.grid.2 <- matrix(testfun.grid, n.grid, n.grid) contour(x.grid,y.grid,z.grid.2,levels=T,col="blue",add=TRUE,lwd=5) title("Contour lines of Ranjan criterion (black) and of f(x)=T (blue)")
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