EffGlobalMinimizer Class Reference

Implementation of Efficient Global Optimization/Least Squares algorithms. More...

Inheritance diagram for EffGlobalMinimizer:

List of all members.

Public Member Functions
	EffGlobalMinimizer (Model &model)
	standard constructor
	~EffGlobalMinimizer ()
	alternate constructor for instantiations "on the fly" destructor
void	minimize_surrogates ()
	approach. Redefines the Iterator::run() virtual function.
Private Member Functions
void	minimize_surrogates_on_model ()
	called by minimize_surrogates for setUpType == "model"
void	get_best_sample ()
	imporovement function
Real	expected_improvement (const RealVector &means, const RealVector &variances)
	expected improvement function for the GP
RealVector	expected_violation (const RealVector &means, const RealVector &variances)
	expected violation function for the constraint functions
void	update_penalty ()
	initialize and update the penaltyParameter
Static Private Member Functions
static void	EIF_objective_eval (const Variables &sub_model_vars, const Variables &recast_vars, const Response &sub_model_response, Response &recast_response)
	Expected Improvement (EIF) problem formulation for PMA.
Private Attributes
String	setUpType
	(user-supplied functions mode for "on the fly" instantiations).
Model	fHatModel
	GP model of response, one approximation per response function.
Model	eifModel
	max(EIF) sub-problem
Real	meritFnStar
	minimum penalized response from among true function evaluations
RealVector	truthFnStar
	true function values corresponding to the minimum penalized response
RealVector	varStar
	point that corresponds to the optimal value meritFnStar
Static Private Attributes
static EffGlobalMinimizer *	effGlobalInstance
	functions in order to avoid the need for static data

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Detailed Description

Implementation of Efficient Global Optimization/Least Squares algorithms.

The EffGlobalMinimizer class provides an implementation of the Efficient Global Optimization algorithm developed by Jones, Schonlau, & Welch as well as adaptation of the concept to nonlinear least squares.

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Constructor & Destructor Documentation

~EffGlobalMinimizer

(

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alternate constructor for instantiations "on the fly" destructor

This is an alternate constructor for instantiations on the fly using a Model but no ProblemDescDB.

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The documentation for this class was generated from the following files:

• EffGlobalMinimizer.H
• EffGlobalMinimizer.C

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