Algorithm 5: Heuristic Algorithm for Initial Interval Width Selection

1. Draw N(0) samples using an initial guess, ω(0). Set t = 0.

2. Tally the number of expansions, X(t) & contractions, C(t)

3. Set ${\omega }^{\left(t+1\right)}={\omega }^{\left(t\right)}\times 2\left(\frac{X^{\left(t\right)}}{X^{\left(t\right)}+C^{\left(t\right)}}\right)$ and N(t+1) = 2 × N(t). Set t = t + 1.

4. Repeat steps 2 and 3 until $\left(\frac{X^{\left(t\right)}}{X^{\left(t\right)}+C^{\left(t\right)}}\right)-\frac{1}{2}\in [-\phi ,\phi ]$