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'>)[source]¶

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.