bayeso.acquisitions.expected_improvement

It defines an expected improvement acquisition function.

  1. Šaltenis, V. R. (1971). One Method of Multiextremum Optimization. Avtomatika i Vychislitel’naya Tekhnika (Automatic Control and Computer Sciences), 5(3), pp. 33–38.

  2. Mockus, J. (1972). Bayesian Methods of Search for an Extremum. Avtomatika i Vychislitel’naya Tekhnika (Automatic Control and Computer Sciences), 6(3), pp. 53–62.

bayeso.acquisitions.expected_improvement.acq_fun(pred_mean: ndarray, pred_std: ndarray, Y_train: ndarray, jitter: float = 1e-05) → ndarray

It is an expected improvement criterion.

Parameters:

  • pred_mean (numpy.ndarray) – posterior predictive mean function over X_test. Shape: (l, ).

  • pred_std (numpy.ndarray) – posterior predictive standard deviation function over X_test. Shape: (l, ).

  • Y_train (numpy.ndarray) – outputs of X_train. Shape: (n, 1).

  • jitter (float, optional) – jitter for pred_std.

Returns:

acquisition function values. Shape: (l, ).

Return type:

numpy.ndarray

Raises:

AssertionError