repeatsOCBA: Optimal Computing Budget Allocation

In bartzbeielstein/SPOT: Sequential Parameter Optimization Toolbox

Description

A simple interface to the Optimal Computing Budget Allocation algorithm.

Usage

repeatsOCBA(x, y, budget)

Arguments

x	matrix of samples. Identical rows indicate repeated evaluations. Any sample should be evaluated at least twice, to get an estimate of the variance.
y	observations of the respective samples. For repeated evaluations, y should differ (variance not zero).
budget	of additional evaluations to be allocated to the samples.

Value

A vector that specifies how often each solution should be evaluated.

References

Chun-hung Chen and Loo Hay Lee. 2010. Stochastic Simulation Optimization: An Optimal Computing Budget Allocation (1st ed.). World Scientific Publishing Co., Inc., River Edge, NJ, USA.

See Also

repeatsOCBA calls OCBA, which also provides some additional details.

Examples

x <- matrix(c(1:3,1:3),9,2)
y <- runif(9)
repeatsOCBA(x,y,10)

bartzbeielstein/SPOT documentation built on June 13, 2020, 5:58 p.m.