get_rsquared_acv¶

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

Compute r^2 used to compute the variance reduction of Approximate Control Variate Algorithms

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]
nsample_ratiosnp.ndarray (nmodels-1): The sample ratios r used to specify the number of samples of the lower fidelity models, e.g. N_i = r_i*nhf_samples, i=1,…,nmodels-1
get_discrepancy_covariancescallable: Function that returns the covariances of the control variate discrepancies. Functions must have the signature CF,cf = get_discrepancy_covariances(cov,nsample_ratios)

Returns