Acquisition Function Expected Improvement

Expected Improvement.

Dictionary

This AcqFunction can be instantiated via the dictionary mlr_acqfunctions or with the associated sugar function acqf():

mlr_acqfunctions$get("ei")
acqf("ei")

References

• Jones, R. D, Schonlau, Matthias, Welch, J. W (1998). “Efficient Global Optimization of Expensive Black-Box Functions.” Journal of Global optimization, 13(4), 455--492.

See also

Other Acquisition Function: AcqFunction, mlr_acqfunctions_aei, mlr_acqfunctions_cb, mlr_acqfunctions_ehvigh, mlr_acqfunctions_ehvi, mlr_acqfunctions_eips, mlr_acqfunctions_mean, mlr_acqfunctions_pi, mlr_acqfunctions_sd, mlr_acqfunctions_smsego, mlr_acqfunctions

Super classes

bbotk::Objective -> mlr3mbo::AcqFunction -> AcqFunctionEI

Public fields

y_best

(numeric(1))
Best objective function value observed so far. In the case of maximization, this already includes the necessary change of sign.

Methods

Public methods

• AcqFunctionEI$new()

• AcqFunctionEI$update()

• AcqFunctionEI$clone()

Inherited methods

• bbotk::Objective$eval()
• bbotk::Objective$format()
• bbotk::Objective$print()
• mlr3mbo::AcqFunction$eval_dt()
• mlr3mbo::AcqFunction$eval_many()

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Method new()

Creates a new instance of this R6 class.

Usage

AcqFunctionEI$new(surrogate = NULL)

Arguments

surrogate

(NULL | SurrogateLearner).

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Method update()

Updates acquisition function and sets y_best.

Usage

AcqFunctionEI$update()

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Method clone()

The objects of this class are cloneable with this method.

Usage

AcqFunctionEI$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

Examples

if (requireNamespace("mlr3learners") &
    requireNamespace("DiceKriging") &
    requireNamespace("rgenoud")) {
  library(bbotk)
  library(paradox)
  library(mlr3learners)
  library(data.table)

  fun = function(xs) {
    list(y = xs$x ^ 2)
  }
  domain = ps(x = p_dbl(lower = -10, upper = 10))
  codomain = ps(y = p_dbl(tags = "minimize"))
  objective = ObjectiveRFun$new(fun = fun, domain = domain, codomain = codomain)

  instance = OptimInstanceSingleCrit$new(
    objective = objective,
    terminator = trm("evals", n_evals = 5))

  instance$eval_batch(data.table(x = c(-6, -5, 3, 9)))

  learner = lrn("regr.km",
    covtype = "matern3_2",
    optim.method = "gen",
    nugget.stability = 10^-8,
    control = list(trace = FALSE))

  surrogate = srlrn(learner, archive = instance$archive)

  acq_function = acqf("ei", surrogate = surrogate)

  acq_function$surrogate$update()
  acq_function$update()
  acq_function$eval_dt(data.table(x = c(-1, 0, 1)))
}
#>      acq_ei
#> 1: 4.129765
#> 2: 4.610817
#> 3: 5.095141