max_distance_measure: Minimize the distance in measure criterion

In pGPx: Pseudo-Realizations for Gaussian Process Excursions

Minimize the distance in measure criterion

Description

Optimizes the distance in measure criterion.

Usage

max_distance_measure(
  lower,
  upper,
  optimcontrol = NULL,
  batchsize,
  integration.param,
  T,
  model
)

Arguments

lower	a d dimensional vector containing the lower bounds for the optimization
upper	a d dimensional vector containing the upper bounds for the optimization
optimcontrol	the parameters for the optimization, see max_sur_parallel for more details.
batchsize	number of simulations points to find
integration.param	the parameters for the integration of the criterion, see max_sur_parallel for more details.
T	threshold value
model	a km model

Value

A list containing

• par a matrix batchsize*d containing the optimal points

• value if optimcontrol$optim.option!=1 and optimcontrol$method=="genoud" (default options) a vector of length batchsize containing the optimum at each step otherwise the value of the criterion at the optimum.

References

Azzimonti D. F., Bect J., Chevalier C. and Ginsbourger D. (2016). Quantifying uncertainties on excursion sets under a Gaussian random field prior. SIAM/ASA Journal on Uncertainty Quantification, 4(1):850–874.

Azzimonti, D. (2016). Contributions to Bayesian set estimation relying on random field priors. PhD thesis, University of Bern.

pGPx documentation built on Aug. 23, 2023, 5:09 p.m.