max_integrand_edm {pGPx}

Maximize the integrand distance in measure criterion

Description

Optimizes the integrand of the distance in measure criterion.

Usage

max_integrand_edm(
  lower,
  upper,
  batchsize,
  alpha = 0.5,
  Thresh,
  model,
  verb = 1
)

Arguments

lower

a d dimensional vector containing the lower bounds for the optimization

upper

a d dimensional vector containing the upper bounds for the optimization

batchsize

number of simulations points to find

alpha

value of Vorob'ev threshold

Thresh

threshold value

model

a km model

verb

an integer to choose the level of verbosity

Value

A list containing

• par a matrix batchsize*d containing the optimal points

• value a vector of length batchsize with the value of the criterion after each optimization

• fcount count of the number of criterion evaluations

References

Azzimonti D. F., Bect J., Chevalier C. and Ginsbourger D. (2016). Quantifying uncertainties on excursion sets under a Gaussian random field prior. SIAM/ASA Journal on Uncertainty Quantification, 4(1):850–874.

Azzimonti, D. (2016). Contributions to Bayesian set estimation relying on random field priors. PhD thesis, University of Bern.