computeRealVolumeConstant {KrigInv} | R Documentation |
A constant used to calculate the expected excursion set's volume variance
Description
This function computes a constant used to calculate exactly the value of the "jn"
criterion.
Computing this constant does NOT change the optimum of the "jn"
criterion.
Therefore, its calculation is indicative only and is only necessary to know exactly (in expectation) the excursion set's volume variance.
Usage
computeRealVolumeConstant(model,integration.points,
integration.weights=NULL,T)
Arguments
model |
A Kriging model of |
integration.points |
p*d matrix of points for numerical integration in the X space. |
integration.weights |
(Optional) Vector of size p corresponding to the weights of these integration points. If not provided, all weights are set to 1. |
T |
Target threshold. |
Details
Note that, even if the "jn"
criterion can be used with more than one threshold, the computation of this constant is implemented only
when the number of threshold is equal to 1.
Value
a scalar
Author(s)
Clement Chevalier (University of Neuchatel, Switzerland)
References
Chevalier C., Bect J., Ginsbourger D., Vazquez E., Picheny V., Richet Y. (2014), Fast parallel kriging-based stepwise uncertainty reduction with application to the identification of an excursion set, Technometrics, vol. 56(4), pp 455-465
See Also
precomputeUpdateData
, predict_nobias_km
Examples
#computeRealVolumeConstant
set.seed(9)
N <- 20 #number of observations
testfun <- branin
T <- 80
#a 20 points initial design
design <- data.frame( matrix(runif(2*N),ncol=2) )
response <- testfun(design)
#km object with matern3_2 covariance
#params estimated by ML from the observations
model <- km(formula=~., design = design,
response = response,covtype="matern3_2")
integcontrol <- list(n.points=500,distrib="jn",init.distrib="MC")
obj <- integration_design(integcontrol=integcontrol,
lower=c(0,0),upper=c(1,1),model=model,T=T)
integration.points <- obj$integration.points
integration.weights <- obj$integration.weights
## Not run:
computeRealVolumeConstant(model=model,
integration.points=integration.points,
integration.weights=integration.weights,T=T)
## End(Not run)