horizon: Adapt horizon

In hetGP: Heteroskedastic Gaussian Process Modeling and Design under Replication

Adapt horizon

Description

Adapt the look-ahead horizon depending on the replicate allocation or a target ratio

Usage

horizon(
  model,
  current_horizon = NULL,
  previous_ratio = NULL,
  target = NULL,
  Wijs = NULL
)

Arguments

model	hetGP or homGP model
current_horizon	horizon used for the previous iteration, see details
previous_ratio	ratio before adding the previous new design
target	scalar in ]0,1] for desired n/N
Wijs	optional previously computed matrix of Wijs, see Wij

Details

If target is provided, along with previous_ratio and current_horizon:

• the horizon is increased by one if more replicates are needed but a new ppint has been added at the previous iteration,

• the horizon is decreased by one if new points are needed but a replicate has been added at the previous iteration,

• otherwise it is unchanged.

If no target is provided, allocate_mult is used to obtain the best allocation of the existing replicates, then the new horizon is sampled from the difference between the actual allocation and the best one, bounded below by 0. See (Binois et al. 2017).

Value

randomly selected horizon for next iteration (adpative) if no target is provided, otherwise returns the update horizon value.

References

M. Binois, J. Huang, R. B. Gramacy, M. Ludkovski (2019), Replication or exploration? Sequential design for stochastic simulation experiments, Technometrics, 61(1), 7-23.
Preprint available on arXiv:1710.03206.

hetGP documentation built on Oct. 3, 2023, 1:07 a.m.