get_control_variate_rsquared

pyapprox.control_variate_monte_carlo.get_control_variate_rsquared(cov)

Compute $r^2$ used to compute the variance reduction of control variate Monte Carlo

$$\gamma = 1-r^2, \qquad r^2 = c^TC^{-1}c$$

where c is the first column of C

Parameters

covnp.ndarray (nmodels,nmodels)

The covariance C between each of the models. The highest fidelity model is the first model, i.e its variance is cov[0,0]

Returns

rsquaredfloat

The value $r^2$