WeightedPredictiveVariance

class probnum.quad.solvers.acquisition_functions.WeightedPredictiveVariance

Bases: AcquisitionFunction

The predictive variance acquisition function that yields uncertainty sampling.

The acquisition function is

\[a(x) = \operatorname{Var}(f(x)) p(x)^2\]

where \(\operatorname{Var}(f(x))\) is the predictive variance of the model and \(p(x)\) is the density of the integration measure \(\mu\).

Attributes Summary

has_gradients

Whether the acquisition function exposes gradients.

Methods Summary

__call__(x, bq_state)

Evaluates the acquisition function and optionally its gradients.

Attributes Documentation

has_gradients

Methods Documentation

__call__(x, bq_state)

Evaluates the acquisition function and optionally its gradients.

Parameters

• x (ndarray) – shape=(batch_size, input_dim) – The nodes where the acquisition function is being evaluated.

• bq_state (BQState) – State of the BQ belief.

Returns

• acquisition_values – shape=(batch_size, ) – The acquisition values at nodes x.

• acquisition_gradients – shape=(batch_size, input_dim) – The corresponding gradients (optional).

Return type

Tuple[ndarray, Optional[ndarray]]