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kernDeepStackNet (version 2.0.2)

EImod: Expected improvement criterion replacement function

Description

This function is a replacement of the function EI in package DiceOptim.

Usage

EImod (x, model, plugin = NULL, type = "UK", minimization = TRUE, 
    envir = NULL)

Arguments

x

a vector representing the input for which one wishes to calculate EI,

model

an object of class km

plugin

optional scalar: if provided, it replaces the minimum of the current observations,

type

"SK" or "UK" (by default), depending whether uncertainty related to trend estimation has to be taken into account,

minimization

logical specifying if EI is used in minimiziation or in maximization,

envir

an optional environment specifying where to assign intermediate values for future gradient calculations. Default is NULL.

Value

The expected improvement, defined as

\(EI(x) := E[( min(Y(X)) - Y(x))^{+} | Y(X)=y(X)]\),

where X is the current design of experiments and Y is the random process assumed to have generated the objective function y. If a plugin is specified, it replaces

\(min(Y(X))\)

in the previous formula.

See Also

EI