estimate_model_ensemble_covariance¶
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pyapprox.control_variate_monte_carlo.estimate_model_ensemble_covariance(npilot_samples, generate_samples, model_ensemble)[source]¶ Estimate the covariance of a model ensemble from a set of pilot samples
- Parameters
- npilot_samplesinteger
The number of samples used to estimate the covariance
- generate_samplescallable
Function used to generate realizations of the random variables with call signature samples = generate_samples(npilot_samples)
- model_emsemblecallable
Function that takes a set of samples and models ids and evaluates a set of models. See ModelEnsemble. call signature values = model_emsemble(samples)
- Returns
- covnp.ndarray (nqoi,nqoi)
The covariance between the model qoi
- pilot_random_samplesnp.ndarray (nvars,npilot_samples)
The random samples used to compute the covariance. These samples DO NOT have a model id
- pilot_valuesnp.ndaray (npilot_samples,nmodels)
The values of each model at the pilot samples