find.K.hat: Finds the empirical Lipschitz constant of f, a lower bound on...

In jeff-regier/MiniMiniMaxUQ: Mini-Minimax Uncertainty Quantification for Emulators

Description

Finds the empirical Lipschitz constant of f, a lower bound on the Lipschitz constant of f.

Usage

find.K.hat(X, f.X, lp.norm = Inf, min.distance = 0)

Arguments

X	a matrix whose rows are points where f is observed
f.X	a vector whose values are f evaluated at each row of X
lp.norm	an integer (or Inf) specifying the L_p norm for computing the distances between points in X. Defaults to sup-norm.
min.distance	only pairs of points in X farther apart than this threshold are considered. Defaults to 0.

Examples

X <- expand.grid(1:9, 1:9) / 10
f <- function(x) sin(x[1]) + cos(x[2])
f.X <- apply(X, 1, f)
find.K.hat(X, f.X)

jeff-regier/MiniMiniMaxUQ documentation built on May 19, 2019, 1:45 a.m.