batch.ddsa: Calculates reallocated batch size for DDSA

In mludkov/mlOSP: Machine Learning and Regression Monte Carlo Algorithms for Optimal Stopping

Calculates reallocated batch size for DDSA

Description

DDSA for Adaptive Batching

Usage

batch.ddsa(fit, r_seq, xtest, xt_dens, r0, method)

Arguments

fit	gp/tp fit
r_seq	batch size vector for existing inputs
xtest	testing points to compare reallocation and adding a new inputs
xt_dens	density of xtest
r0	total number of new simulations to add
method	"km" or "trainkm" or "hetgp" or "homtp"

Author(s)

Xiong Lyu

References

M. Ludkovski, X. Lyu (2020+) Adaptive Batching for Gaussian Process Surrogates with Application in Noisy Level Set Estimation, <http://arxiv.org/abs/2003.08579>

See Also

osp.seq.batch.design

mludkov/mlOSP documentation built on April 29, 2023, 7:56 p.m.