STK_SAMPCRIT_EHVI_EVAL computes the EHVI criterion CALL: EHVI = stk_sampcrit_ehvi_eval (ZP_MEAN, ZP_STD, ZI, ZR) computes the value EHVI of the Expected HyperVolume Improvement (EHVI) for a multi-objective minimization problem, with respect to the observed values ZI and the reference point ZR, assuming Gaussian predictive distributions with means ZP_MEAN and standard deviations ZP_STD. The input arguments must have the following sizes: * ZP_MEAN M x P, * ZP_STD M x P, * ZI N x P, * ZR 1 x P, where M is the number of points where the EHVI must be computed, P the number of objective functions to be minimized, and N the current number of Pareto optimal solutions. The output has size M x 1. NOTE 1) The result depends only on the non-dominated rows of ZI. 2) Multi-objective maximization problems, or mixed minimization/maximization problems, can be handled by changing the sign of the corresponding components of ZP_MEAN and ZI. REFERENCES [1] Emmerich, M. T., Giannakoglou, K. C., & Naujoks, B. Single- and multiobjective evolutionary optimization assisted by gaussian random field metamodels. IEEE Transactions on Evolutionary Computation, 10(4), 421-439, 2006. See also: stk_sampcrit_emmi_eval, stk_sampcrit_ei_eval
Package: stk