get_discrepancy_covariances_IS

pyapprox.control_variate_monte_carlo.get_discrepancy_covariances_IS(cov, nsample_ratios, pkg=<module 'numpy' from '/Users/jdjakem/opt/miniconda3/envs/pyapprox-dev/lib/python3.7/site-packages/numpy/__init__.py'>)

Get the covariances of the discrepancies \(\delta\) between each low-fidelity model and its estimated mean when the same \(N\) samples are used to compute the covariance between each models and \(N-r_\alpha\) samples are allocated to estimate the low-fidelity means, and each of these sets are drawn independently from one another.

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

pkgpackage (optional)

A python package (numpy or torch) used to store the covariances.