batch.rb: Calculates weights for batch size in RB

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

Calculates weights for batch size in RB

Description

Ratchet Batching heuristic

Usage

batch.rb(objSd_at_x_optim, r_cand, last_r, nugget, gamma)

Arguments

objSd_at_x_optim	posterior standard deviation of the response at the selected new input
r_cand	candidate batch size vector
last_r	the last batch size
nugget	the noise variance to compute the ALC factor
gamma	threshold compared with sd

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.