bayeso.acquisitions.probability_of_improvement

It defines a probability of improvement acquisition function.

  1. Kushner, H. J. (1962). A Versatile Stochastic Model of a Function of Unknown and Time Varying Form. Journal of Mathematical Analysis and Applications, 5(1), pp. 150–167.

  2. Kushner, H. J. (1964). A New Method of Locating the Maximum Point of an Arbitrary Multipeak Curve in the Presence of Noise. Journal of Basic Engineering, 86(1), pp. 97–106.

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

It is a probability of 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