fit.hyperparams: Fit hyperparameters for a GP using maximum likelihood...

Description Usage Arguments Value

View source: R/gp.R

Description

Fit hyperparameters for a GP using maximum likelihood optimisation

Usage

1
2
3
4
5
6
7
8
fit.hyperparams(gp, sigma.n.init = NA, hyper.params.init = NA,
  prior = get.uniform.prior(), random.init.gridsize = 50,
  resample.top.inits = TRUE, resample.from = NULL, num.resamples = NULL,
  additional.optimx.runs = 1, additional.par.perc.diff = 0.1,
  random.init.scale = 1, abs.min.sigma.n = 0.001,
  abs.min.hyper.params = 0, optimx.method = "L-BFGS-B",
  max.iterations = 10000, optimx.starttests = FALSE, optimx.trace = 0,
  verbose = FALSE)

Arguments

gp

a GaussianProcess object

sigma.n.init

an initial value for sigma.n, or NA for random initialisation

hyper.params.init

a vector of initial values for the kernel hyperparameters, or NA for random initialisation. Partial random starts can be specified by setting only some entries in the vector to be NA, or a complete random start can be specified by passing a single NA value.

random.init.gridsize

the number of random initialisation points to test

resample.top.inits

boolean indicating whether to do a second random search based on the (smoothed) distribution of the top results in the first pass

resample.from

number of points to build the distribution from in the second random search

num.resamples

number of samples for the second search

additional.optimx.runs

the number of additional start points to attempt optimisation from

additional.par.perc.diff

the percentage difference required between any two starting parameter vectors

random.init.scale

a scaling factor for the random generation of initialisation points

abs.min.sigma.n

minimum value of sigma.n

abs.min.hyper.params

a vector of minimum values of the hyper params

optimx.method

the optimx method to use for optimisation

max.iterations

max iterations of each optimx run

optimx.starttests

run optimx start tests

optimx.trace

optimx trace level

verbose

verbose output to screen

Value

a trained GaussianProcess object


mattdneal/gaussianProcess documentation built on May 21, 2019, 12:58 p.m.