diviner
Class RiskDiviner

java.lang.Object
  function.BasicScalarFunction
      function.VariableDomainScalarFunction
          diviner.BasicBoundConstrainedDiviner
              diviner.ImprovementDiviner
                  diviner.RiskDiviner

All Implemented Interfaces:

BoundConstrainedDiviner, Computable, ScalarFunction, VariableBounds, VariableInputDimension

public class RiskDiviner
extends ImprovementDiviner

Another way of trading performance and risk: quantify the risk as the probability of not achieving a given performance. For Gaussian likelihoods, this always occurs a fixed number of standard deviations away from the mean. Now fix the risk of a diviner, meaning that the algorithm always chooses points a given distance away from the mean. Find the best performance at this level of risk. Note: a risk of 0.5 corresponds to being exactly at the mean.

Author:

dgorur

Field Summary

Fields inherited from class diviner.ImprovementDiviner

improvement, postMean, postStdDev, scaledImprovement

Fields inherited from class function.BasicScalarFunction

DEFAULT_BOUNDS, DEFAULT_DIM, VALUE_OUTSIDE_BOUNDS

Constructor Summary

RiskDiviner()

Method Summary

double	getRisk() Returns the risk, defined as the probability of obtaining an objective value higher than the target.
double	getStdDev() Returns the number of std.deviations out at which risk occurs.
double	quickCompute(double[] x) Compute method without dimension checking.
void	setRisk(double risk) Sets the risk, defined as in getRisk().
void	setStdDev(double stdDev) Sets the stdDev, defined in getStdDev().

Methods inherited from class diviner.ImprovementDiviner

evaluatePosterior, getTargetObjective, setTargetObjective

Methods inherited from class diviner.BasicBoundConstrainedDiviner

getObjectiveModel, init, setObjectiveModel

Methods inherited from class function.VariableDomainScalarFunction

getBounds, getInputDimension, setBounds, setInputDimension

Methods inherited from class function.BasicScalarFunction

checkDimensions, compute, compute, compute, compute, compute, compute, getOutputDimension, isWithinBounds, makeBounds, quickCompute

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface function.VariableBounds

setBounds

Methods inherited from interface function.ScalarFunction

compute, compute, compute, compute, quickCompute

Methods inherited from interface function.Computable

compute, compute, getBounds, getInputDimension, getOutputDimension, isWithinBounds

Constructor Detail

RiskDiviner

public RiskDiviner()

Method Detail

getRisk

public double getRisk()

Returns the risk, defined as the probability of obtaining an objective value higher than the target.

Returns:

the risk.

getStdDev

public double getStdDev()

Returns the number of std.deviations out at which risk occurs.

Returns:

the number of std. deviations away from the mean at which the Gaussian probability = 1 - risk.

quickCompute

public double quickCompute(double[] x)

Description copied from class: BasicScalarFunction

Compute method without dimension checking. All subclasses must implement this method: it is the core method that defines the function.

Specified by:

quickCompute in interface ScalarFunction

Specified by:

quickCompute in class BasicScalarFunction

Parameters:

x - the given input.

Returns:

the output corresponding to the given input.

setRisk

public void setRisk(double risk)

Sets the risk, defined as in getRisk().

Parameters:

risk - the given risk.

setStdDev

public void setStdDev(double stdDev)

Sets the stdDev, defined in getStdDev().

Parameters:

stdDev - the given stdDev.