fixed gumbel sampler bug

EmuKit / emukit

A Python-based toolbox of various methods in decision making, uncertainty quantification and statistical emulation: multi-fidelity, experimental design, Bayesian optimisation, Bayesian quadrature, etc.

https://emukit.github.io/emukit/

Apache License 2.0

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fixed gumbel sampler bug #326

Closed henrymoss closed 4 years ago

henrymoss commented 4 years ago

Fixed Gumbel sampler subroutine for MES and MUMBO.

We now fit the Gumbel (minima) distribution instead of the Gumbel (maxima) distribution, which is what we require for function minimisation.

I have also added some comments explaining where the equations come from to avoid future confusions on this issue.

apaleyes commented 4 years ago

Looks good, thanks Henry. I also see that the build succeeded, but github lost it somehow: https://travis-ci.org/github/EmuKit/emukit/builds/742413881 . Will merge anyway