STK_DISTRIB_STUDENT_EI computes the Student expected improvement CALL: EI = stk_distrib_student_ei (Z, NU) computes the expected improvement of a Student random variable with NU degrees of freedom above the threshold Z. CALL: EI = stk_distrib_student_ei (Z, NU, MU, SIGMA) computes the expected improvement of a Student random variable with NU degrees of freedom, location parameter MU and scale parameter SIGMA, above the threshold Z. CALL: EI = stk_distrib_student_ei (Z, NU, MU, SIGMA, MINIMIZE) computes the expected improvement of a Student random variable with NU degrees of freedom, location parameter MU and scale parameter SIGMA, below the threshold Z if MINIMIZE is true, above the threshold Z otherwise. REFERENCES [1] R. Benassi, J. Bect and E. Vazquez. Robust Gaussian process-based global optimization using a fully Bayesian expected improvement criterion. In: Learning and Intelligent Optimization (LION 5), LNCS 6683, pp. 176-190, Springer, 2011 [2] B. Williams, T. Santner and W. Notz. Sequential Design of Computer Experiments to Minimize Integrated Response Functions. Statistica Sinica, 10(4):1133-1152, 2000. See also stk_distrib_normal_ei
Package: stk