BayesianQuadrature

class probnum.quad.BayesianQuadrature(kernel, policy)

Bases: object

A base class for Bayesian quadrature.

Bayesian quadrature solves integrals of the form

\[F = \int_\Omega f(x) d \mu(x).\]
Parameters

  • kernel (Kernel) – The kernel used for the GP model.

  • policy (Callable) – The policy for acquiring nodes for function evaluations.

Methods Summary

from_interface(input_dim[, kernel, method, …])

rtype

BayesianQuadrature

integrate(fun, measure, nevals)

Integrate the function fun.

Methods Documentation

classmethod from_interface(input_dim, kernel=None, method='vanilla', policy='bmc')[source]
Return type

BayesianQuadrature

integrate(fun, measure, nevals)[source]

Integrate the function fun.

Parameters

  • fun (Callable) – The integrand function \(f\).

  • measure (IntegrationMeasure) – An integration measure \(\mu\).

  • nevals (int) – Number of function evaluations.

Return type

Tuple[Normal, Dict]

Returns

  • F – The integral of fun against measure.

  • info – Information on the performance of the method.