get_discrepancy_covariances_MF

pyapprox.control_variate_monte_carlo.get_discrepancy_covariances_MF(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 using the MFMC sampling strategy.

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.