max_timse_parallel {KrigInv} | R Documentation |
Minimizer of the parallel timse criterion
Description
Minimization, based on the package rgenoud (or on exhaustive search on a discrete set), of the timse criterion for a batch of candidate sampling points.
Usage
max_timse_parallel(lower, upper, optimcontrol = NULL,
batchsize, integration.param, T,
model, new.noise.var = 0,
epsilon=0,imse=FALSE)
Arguments
lower |
Vector containing the lower bounds of the design space. |
upper |
Vector containing the upper bounds of the design space. |
optimcontrol |
Optional list of control parameters for the optimization of the sampling criterion. The field |
batchsize |
Number of points to sample simultaneously. The sampling criterion will return batchsize points at a time for sampling. |
integration.param |
Optional list of control parameter for the computation of integrals, containing the fields |
T |
Array containing one or several thresholds. |
model |
A Kriging model of |
new.noise.var |
Optional scalar value of the noise variance of the new observations. |
epsilon |
Optional tolerance value (a real positive number). Default value is 0. |
imse |
Optional boolean to decide if the |
Value
A list with components:
par |
the best set of parameters found. |
value |
the value of the sur criterion at par. |
allvalues |
If an optimization on a discrete set of points is chosen, the value of the criterion at all these points. |
Author(s)
Victor Picheny (INRA, Toulouse, France)
Clement Chevalier (University of Neuchatel, Switzerland)
References
Picheny V., Ginsbourger D., Roustant O., Haftka R.T., (2010) Adaptive designs of experiments for accurate approximation of a target region, J. Mech. Des. vol. 132(7)
Picheny V. (2009) Improving accuracy and compensating for uncertainty in surrogate modeling, Ph.D. thesis, University of Florida and Ecole Nationale Superieure des Mines de Saint-Etienne
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
Examples
#max_timse_parallel
set.seed(9)
N <- 20 #number of observations
T <- c(40,80) #thresholds
testfun <- branin
lower <- c(0,0)
upper <- c(1,1)
#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")
optimcontrol <- list(method="genoud",pop.size=200,optim.option=2)
integcontrol <- list(distrib="timse",n.points=400,init.distrib="MC")
integration.param <- integration_design(integcontrol=integcontrol,d=2,
lower=lower,upper=upper,model=model,
T=T)
batchsize <- 5 #number of new points
## Not run:
obj <- max_timse_parallel(lower=lower,upper=upper,optimcontrol=optimcontrol,
batchsize=batchsize,T=T,model=model,
integration.param=integration.param,epsilon=0,imse=FALSE)
#5 optims in dimension 2 !
obj$par;obj$value #optimum in 5 new points
new.model <- update(object=model,newX=obj$par,newy=apply(obj$par,1,testfun),
cov.reestim=TRUE)
par(mfrow=c(1,2))
print_uncertainty(model=model,T=T,type="pn",lower=lower,upper=upper,
cex.points=2.5,main="probability of excursion")
print_uncertainty(model=new.model,T=T,type="pn",lower=lower,upper=upper,
new.points=batchsize,col.points.end="red",cex.points=2.5,
main="updated probability of excursion")
## End(Not run)