| title | Stochastic Kriging with Gradient |
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This is an implementation of the Stochastic Kriging with Gradient (SKG) proposed by Chen et al. (2013).
The codes were written in MATLAB R2015a. They (except for the third-party functions mentioned below) can be freely redistributed and used under the terms of the BSD 3-Clause License.
Download the entire package with an example in it.
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Gaussian (or called squared exponential) correlation function of the form
with
for
is used. It is easy to modify the function C in "neglogLL.m" and "SKGpredict.m" to use other types of correlation function.
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By default, gradients along all coordinates are incorporated. Modification will be required to contain only part of the gradients.
© simopt.github.io
Last Update: 2018-05-19