Integrated Variance Metric — metric_integrated_variance • celecx

Approximates the integral of prediction variance over the domain. This is the continuous version of mean variance, accounting for domain volume.

Usage

metric_integrated_variance(
  archive,
  surrogate = NULL,
  grid = NULL,
  search_space = NULL,
  ...
)

Arguments

archive: (bbotk::ArchiveBatch)
The archive (may be used for normalization).
surrogate: (mlr3mbo::Surrogate)
The fitted surrogate model.
grid: (data.table | NULL)
Points at which to evaluate variance. If NULL, generates a default grid from the search space.
search_space: (paradox::ParamSet | NULL)
Used to generate grid if not provided.
...: Ignored.

Value

numeric(1) The integrated variance.

Details

For a uniform grid, this equals mean_variance * domain_volume. More sophisticated integration (e.g., Monte Carlo) may be added.