cf.absur: Calculates weights for location and batch size in ABSUR

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

Calculates weights for location and batch size in ABSUR

Description

ABSUR for Adaptive Batching

Usage

cf.absur(objMean, objSd, nugget, r_cand, overhead, t0)

Arguments

objMean	predicted mean response
objSd	posterior standard deviation of the response
nugget	the noise variance to compute the ALC factor
r_cand	candidate batch size vector
overhead	estimated computation overhead in GP
t0	overhead for individual simulation

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.