compute_approximate_control_variate_mean_estimate¶

pyapprox.control_variate_monte_carlo.compute_approximate_control_variate_mean_estimate(weights, values)[source]¶

Use approximate control variate Monte Carlo to estimate the mean of high-fidelity data with low-fidelity models with unknown means

Parameters

valueslist (nmodels)

Each entry of the list contains

values0np.ndarray (num_samples_i0,num_qoi): Evaluations of each model used to compute the estimator \(Q_{i,N}\) of
values1: np.ndarray (num_samples_i1,num_qoi): Evaluations used compute the approximate mean \(\mu_{i,r_iN}\) of the low fidelity models.

weightsnp.ndarray (nmodels-1)

the control variate weights

Returns