STK_DISTRIB_STUDENT_EI computes the Student expected improvement
CALL: EI = stk_distrib_student_ei (Z, NU)
computes the expected improvement of a Student random variable with NU
degrees of freedom above the threshold Z.
CALL: EI = stk_distrib_student_ei (Z, NU, MU, SIGMA)
computes the expected improvement of a Student random variable with NU
degrees of freedom, location parameter MU and scale parameter SIGMA,
above the threshold Z.
CALL: EI = stk_distrib_student_ei (Z, NU, MU, SIGMA, MINIMIZE)
computes the expected improvement of a Student random variable with NU
degrees of freedom, location parameter MU and scale parameter SIGMA,
below the threshold Z if MINIMIZE is true, above the threshold Z
otherwise.
REFERENCES
[1] R. Benassi, J. Bect and E. Vazquez. Robust Gaussian process-based
global optimization using a fully Bayesian expected improvement
criterion. In: Learning and Intelligent Optimization (LION 5),
LNCS 6683, pp. 176-190, Springer, 2011
[2] B. Williams, T. Santner and W. Notz. Sequential Design of Computer
Experiments to Minimize Integrated Response Functions. Statistica
Sinica, 10(4):1133-1152, 2000.
See also stk_distrib_normal_ei