leaveOneOutFun.Kriging: Compute Leave-One-Out (LOO) error for an object with S3 class...

In rlibkriging: Kriging Models using the 'libKriging' Library

Compute Leave-One-Out (LOO) error for an object with S3 class "Kriging" representing a kriging model.

Description

The returned value is the sum of squares \sum_{i=1}^n [y_i - \hat{y}_{i,(-i)}]^2 where \hat{y}_{i,(-i)} is the prediction of y_i based on the the observations y_j with j \neq i.

Usage

## S3 method for class 'Kriging'
leaveOneOutFun(object, theta, return_grad = FALSE, bench = FALSE, ...)

Arguments

object	A Kriging object.
theta	A numeric vector of range parameters at which the LOO will be evaluated.
return_grad	Logical. Should the gradient (w.r.t. theta) be returned?
bench	Logical. Should the function display benchmarking output
...	Not used.

Value

The leave-One-Out value computed for the given vector \boldsymbol{\theta} of correlation ranges.

Author(s)

Yann Richet [e-mail]

Examples

f <- function(x) 1 - 1 / 2 * (sin(12 * x) / (1 + x) + 2 * cos(7 * x) * x^5 + 0.7)
set.seed(123)
X <- as.matrix(runif(10))
y <- f(X)

k <- Kriging(y, X, kernel = "matern3_2", objective = "LOO", optim="BFGS")
print(k)

loo <-  function(theta) leaveOneOutFun(k, theta)$leaveOneOut
t <-  seq(from = 0.001, to = 2, length.out = 101)
plot(t, loo(t), type = "l")
abline(v = k$theta(), col = "blue")

rlibkriging documentation built on Oct. 3, 2024, 1:06 a.m.