OCBA: Low Level OCBA

In SPOT: Sequential Parameter Optimization Toolbox

Low Level OCBA

Description

Compute the Optimal Computing Budget Allocation.

Usage

OCBA(sMean, sVar, n, addBudget, verbosity = 0)

Arguments

sMean	vector of sample means of candidate solutions.
sVar	vector of sample variances of candidate solutions. Note, that these should be non-zero. If the solutions with lowest or second lowest mean have zero variance, This function will not distribute any additional evaluations, and return a vector of zeros. If any other solution has zero observed variance, the respective solution will be ignored, and never be assigned additional evaluations.
n	number of already performed evaluations for each candidate solutions.
addBudget	the number of additional evaluations (replications) that can be distributed to the candidate solutions.
verbosity	verbosity (default: 0)

Value

A vector that specifies how often each solution should be evaluated.

References

Chun-hung Chen and Loo Hay Lee. 2010. Stochastic Simulation Optimization: An Optimal Computing Budget Allocation (1st ed.). World Scientific Publishing Co., Inc., River Edge, NJ, USA.

See Also

repeatsOCBA is based on this function.

Examples

## Simple test
OCBA(1:10,1:10,rep(4,10),3)
## Example from the referenced book:
res <- OCBA(c(1.2,2.1,3.4,4.87,6.05),c(3.3,2.0,4.5,5.3,6.9),c(12,6,5,5,4),100)
##expected result:
res == c(48,38,11,2,1)

SPOT documentation built on June 26, 2022, 1:06 a.m.