deodorant.acq-functions
Acquisition functions for Deodorant.
expected-improvement
(expected-improvement xi mu-best gp-predicter x*)
Expected improvement acquisition function with some trickery
to overcome underflow when very low. Specifically, we
revert to using log(UCB) with v=2 as the acquisition function
if log(EI/exp(UCB))<-8.
Accepts:
xi - option for expected improvement (scalar)
mu-best - best posterior mean evaluated at old data points (scalar)
gp-predicter - function that returns [mu var]
from the weighted gp ensemble posterior given
a single point to evaluate x. See
create-weighted-gp-predict-with-derivatives-function*
x* - new point to evaluate (D length vector)
Returns:
EI - log value of expected improvement at x*
integrated-aq-func
(integrated-aq-func base-aq-func mu-bests gp-predicters gp-weights x*)
Calculates the integrated acquisition function from a base
acquisition function and a weighted sum of GP predictors.
This is as per Snoek et al, NIPS 2012.
Accepts:
base-aq-func - Function which takes as inputs a gp-predictor
and a point to evaluate, returning a utility of
evaluating that point.
mu-bests - The best of the expected best point previously
evaluated for each GP, mu_j^+ in the paper.
gp-predicters - A collection of gp-prediction functions. Each
takes a point to evaluate an returns [mu sig]
gp-weights - Vector of weights for each gp-predictor. The
acquisition function values will be weighted by
these weights
x* - The point to evaluate (D length vector)
Returns:
The integrated acquistion function at x*