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leaveOneOutGrad

Leave-one-out least square criterion - Analytical gradient

Description

Returns the analytical gradient of leaveOneOutFun.

Usage

leaveOneOutGrad(param, model, envir)

Arguments

param

a vector containing the optimization variables.
model

an object of class km.
envir

an environment specifying where to get intermediate values calculated in leaveOneOutFun.

Value

the gradient of leaveOneOutFun at param.

Author(s)

O. Roustant, Ecole des Mines de St-Etienne

References

F. Bachoc (2013), Cross Validation and Maximum Likelihood estimations of hyper-parameters of Gaussian processes with model misspecification. Computational Statistics and Data Analysis, 66, 55-69. http://www.lpma.math.upmc.fr/pageperso/bachoc/publications.html

O. Dubrule (1983), Cross validation of Kriging in a unique neighborhood. Mathematical Geology, 15, 687-699.

See Also

DiceKriging

Kriging Methods for Computer Experiments

v1.6.0
GPL-2 | GPL-3
Authors
Olivier Roustant, David Ginsbourger, Yves Deville. Contributors: Clement Chevalier, Yann Richet.
Initial release
2021-02-23

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