infillcrits: Infill criteria.

In pday2/mlrMBO_mP: Bayesian Optimization and Model-Based Optimization of Expensive Black-Box Functions

Description

mlrMBO contains most of the most popular infill criteria, e.g., expected improvement, (lower) confidence bound etc. Moreover, custom infill criteria may be generated with the makeMBOInfillCrit function.

Usage

makeMBOInfillCritMeanResponse()

makeMBOInfillCritStandardError()

makeMBOInfillCritEI(se.threshold = 1e-06)

makeMBOInfillCritCB(cb.lambda = NULL)

makeMBOInfillCritAEI(aei.use.nugget = FALSE, se.threshold = 1e-06)

makeMBOInfillCritEQI(eqi.beta = 0.75, se.threshold = 1e-06)

makeMBOInfillCritDIB(cb.lambda = 1, sms.eps = NULL)

makeMBOInfillCritAdaCB(cb.lambda.start = NULL, cb.lambda.end = NULL)

Arguments

se.threshold	[numeric(1)] In order to avoid numerical problems the standard error estimation is assumed to be exactly zero, if it is below se.threshold. Default is 1e-6.
cb.lambda	[numeric(1) | NULL] Lambda parameter for confidence bound infill criterion. Default is NULL, which means 1 in case of a fully numeric parameter set and 2 otherwise.
aei.use.nugget	[logical(1)] Should the nugget effect be used for the pure variance estimation for augmented expected improvement? Default is FALSE.
eqi.beta	[numeric(1)] Beta parameter for expected quantile improvement criterion. Default is 0.75.
sms.eps	[numeric(1) | NULL] Epsilon for epsilon-dominance for dib.indicator = "sms". Default is NULL, in this case it is adaptively set.
cb.lambda.start	[numeric(1) | NULL] The value of cb.lambda at the beginning of the optimization. The makeMBOInfillCritAdaCB crit takes the progress of the optimization determined by the termination criterion to linearly move from cb.lambda.start to cb.lambda.end. The initial desgin does not account for the progress of the optimization. Eexcept for makeMBOTerminationMaxExecBudget) if you dont pass a precalculated initial design.
cb.lambda.end	[numeric(1) | NULL] The value of cb.lambda at the end of the optimization.

Details

In the multi-objective case we recommend to set cb.lambda to q(0.5 \cdot π_{CB}^{(1 / n)}) where q is the quantile function of the standard normal distribution, π_CB is the probability of improvement value and n is the number of objectives of the considered problem.

See Also

makeMBOInfillCrit

pday2/mlrMBO_mP documentation built on July 21, 2020, 12:16 a.m.