EImod: Expected improvement criterion replacement function

In kernDeepStackNet: Kernel Deep Stacking Networks

Description

This function is a replacement of the function EI in package DiceOptim.

Usage

EImod (x, model, plugin = NULL, type = "UK", minimization = TRUE, 
    envir = NULL)

Arguments

x	a vector representing the input for which one wishes to calculate EI,
model	an object of class km
plugin	optional scalar: if provided, it replaces the minimum of the current observations,
type	"SK" or "UK" (by default), depending whether uncertainty related to trend estimation has to be taken into account,
minimization	logical specifying if EI is used in minimiziation or in maximization,
envir	an optional environment specifying where to assign intermediate values for future gradient calculations. Default is NULL.

Value

The expected improvement, defined as

EI(x) := E[( min(Y(X)) - Y(x))^{+} | Y(X)=y(X)],

where X is the current design of experiments and Y is the random process assumed to have generated the objective function y. If a plugin is specified, it replaces

min(Y(X))

in the previous formula.

Note

For further examples see DiceOptim::EI

Author(s)

Thomas Welchowski [e-mail]

See Also

EI

kernDeepStackNet documentation built on May 2, 2019, 8:16 a.m.