get_approximate_control_variate_weights¶

pyapprox.control_variate_monte_carlo.get_approximate_control_variate_weights(cov, nsample_ratios, get_discrepancy_covariances)[source]¶

Get the weights used by the approximate control variate estimator.

Parameters

covnp.ndarray (nmodels,nmodels): The estimated covariance between each model.
nsample_ratiositerable (nmodels-1): The sample ratioss \(r_\alpha>1\) for each low-fidelity model
get_discrepancy_covariancescallable: Function with signature get_discrepancy_covariances(cov,nsample_ratios) which returns the covariances between the discrepancies betweem the low-fidelity models and their approximated mean.

Returns