max_integrand_edm: Maximize the integrand distance in measure criterion

In pGPx: Pseudo-Realizations for Gaussian Process Excursions

Maximize the integrand distance in measure criterion

Description

Optimizes the integrand of the distance in measure criterion.

Usage

max_integrand_edm(
  lower,
  upper,
  batchsize,
  alpha = 0.5,
  Thresh,
  model,
  verb = 1
)

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
batchsize	number of simulations points to find
alpha	value of Vorob'ev threshold
Thresh	threshold value
model	a km model
verb	an integer to choose the level of verbosity

Value

A list containing

• par a matrix batchsize*d containing the optimal points

• value a vector of length batchsize with the value of the criterion after each optimization

• fcount count of the number of criterion evaluations

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.