doc: chaining_ucb
Compute the chaining UCB given the canonical distance matrix between point of X
Syntax
ucb = chaining_ucb(D2, s2, u) ucb = chaining_ucb(..., 'Name',Value)
Arguments
- D2 matrix (n, n) of canonical squared distance
- s2 matrix (n, 1) of posterior variance
- u scalar for negative log probability
Name-Value Pair Arguments
- step scalar > 1 power to use for the geometric decay of
- cdfinv function to upper bound the tail probabilities e.g. @(u,d) d.*sqrt(2*u)
Ouputs
- ucb vector (n, 1) such that
![$P[\sup_{x^\star}f(x^\star)-f(x)-\mu(x^\star)+\mu(x^\star) > ucb(x)+cst] < \exp(-u)$](chaining_ucb_eq75471.png)