Merge 7382fe4 into a949542

src/Optimization.jl

@@ -1,4 +1,5 @@
 using LinearAlgebra
+using Distributions
 
 function merit_function(point,w,surr::AbstractSurrogate,s_max,s_min,d_max,d_min,box_size)
     if length(point)==1
@@ -430,3 +431,53 @@ function LCBS(lb,ub,krig::Kriging,maxiters::Int,
         end
     end
 end
+
+
+function EI(lb::Number,ub::Number,krig::Kriging,maxiters::Int,
+            sample_type::SamplingAlgorithm,num_new_samples::Int,obj::Function)
+        dtol = 1e-3*norm(ub-lb)
+        eps = 0.01
+        for i = 1:maxiters
+            new_sample = sample(num_new_samples,lb,ub,sample_type)
+            f_max = maximum(krig.y)
+            evaluations = zeros(eltype(krig.x[1]),num_new_samples)
+            point_found = false
+            new_x_max = zero(eltype(krig.x[1]))
+            new_y_max = zero(eltype(krig.x[1]))
+            while point_found == false
+                for j = 1:num_new_samples
+                    std = std_error_at_point(krig,new_sample[j])
+                    u = krig(new_sample[j])
+                    if abs(std) > 1e-6
+                        z = (u - f_max - eps)/std
+                    else
+                        z = 0
+                    end
+                    evaluations[j] = (u-f_max-eps)*cdf(Normal(),z) + std*pdf(Normal(),z)
+                end
+                index_max = argmax(evaluations)
+                x_new = new_sample[index_max]
+                y_new = maximum(evaluations)
+                diff_x = abs.(krig.x .- x_new)
+                bit_x = diff_x .> dtol
+                #new_min_x has to have some distance from krig.x
+                if false in bit_x
+                    #The new_point is not actually that new, discard it!
+                    deleteat!(evaluations,index_max)
+                    deleteat!(new_sample,index_max)
+                    if length(new_sample) == 0
+                        println("Out of sampling points")
+                        return
+                    end
+                 else
+                    point_found = true
+                    new_x_max = x_new
+                    new_y_max = y_new
+                end
+            end
+            if new_y_max < 1e-6*norm(maximum(krig.y)-minimum(krig.y))
+                return
+            end
+            add_point!(krig,new_x_max,obj(new_x_max))
+        end
+end

src/Surrogates.jl

@@ -14,6 +14,6 @@ include("Optimization.jl")
 
 export Kriging, RadialBasis, add_point!, current_estimate, std_error_at_point
 export sample, SamplingAlgorithm, GridSample, UniformSample, SobolSample, LatinHypercubeSample, LowDiscrepancySample
-export SRBF,LCBS
+export SRBF,LCBS,EI
 
 end

test/optimization.jl

@@ -1,6 +1,8 @@
 using Surrogates
 using LinearAlgebra
 
+
+#=
 #######SRBF############
 
 ##### 1D #####
@@ -75,3 +77,18 @@ ub = [6.0,6.0]
 #Kriging
 my_k_ND = Kriging(x,y,p,theta)
 LCBS(lb,ub,my_k_ND,10,UniformSample(),10,objective_function_ND)
+=#
+
+##### EI ######
+
+###1D###
+objective_function = x -> 2*x+1
+x = [2.0,4.0,6.0]
+y = [5.0,9.0,13.0]
+p = 2
+a = 2
+b = 6
+my_k = Kriging(x,y,p)
+EI(a,b,my_k,100,SobolSample(),100,objective_function)
+
+###ND###