cf.sur: Compute EI for Contour Finding using the ZC-SUR formula
In mludkov/mlOSP: Machine Learning and Regression Monte Carlo Algorithms for Optimal Stopping
cf.sur R Documentation
Compute EI for Contour Finding using the ZC-SUR formula
Description
SUR (Stepwise Uncertainty Reduction) acquisition function for Contour Finding from Ludkovski (2018)
Usage
cf.sur(objMean, objSd, nugget)
Arguments
objMean
predicted mean response
objSd
posterior standard deviation of the response
nugget
GP nugget parameter, see under details
Details
compute the change in ZC = sd*(1-sqrt(nugget))/sqrt(nugget + sd^2)
Author(s)
Mike Ludkovski
References
Mike Ludkovski, Kriging Metamodels and Experimental Design for Bermudan Option Pricing
Journal of Computational Finance, 22(1), 37-77, 2018
mludkov/mlOSP documentation built on April 29, 2023, 7:56 p.m.
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| cf.sur | R Documentation |
Compute EI for Contour Finding using the ZC-SUR formula
Description
SUR (Stepwise Uncertainty Reduction) acquisition function for Contour Finding from Ludkovski (2018)
Usage
cf.sur(objMean, objSd, nugget)
Arguments
objMean |
predicted mean response |
objSd |
posterior standard deviation of the response |
nugget |
GP nugget parameter, see under details |
Details
compute the change in ZC = sd*(1-sqrt(nugget))/sqrt(nugget + sd^2)
Author(s)
Mike Ludkovski
References
Mike Ludkovski, Kriging Metamodels and Experimental Design for Bermudan Option Pricing Journal of Computational Finance, 22(1), 37-77, 2018
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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