compute_covariance_from_control_variate_samples¶

pyapprox.control_variate_monte_carlo.compute_covariance_from_control_variate_samples(values)[source]¶

Compute the covariance between information sources from a set of evaluations of each information source.

Parameters

valueslist (nmodels)

The evaluations of each information source seperated in form necessary for control variate estimators. 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.

Returns