estimate_model_ensemble_covariance
- pyapprox.multifidelity.estimate_model_ensemble_covariance(npilot_samples, generate_samples, model_ensemble, nmodels)[source]
Estimate the covariance of a model ensemble from a set of pilot samples
- Parameters:
- npilot_samplesinteger
The number of samples used to estimate the covariance
- generate_samplescallable
Function used to generate realizations of the random variable with call signature samples = generate_samples(npilot_samples)
- model_ensemblecallable or np.ndarray (nvars, nsamples)
Function that takes a set of samples and models ids and evaluates a set of models. See ModelEnsemble. call signature values = model_emsemble(samples)
relizations of the random variable
- nmodelsinteger
The number of models in the ensemble
- Returns:
- covnp.ndarray (nqoi,nqoi)
The covariance between the model qoi
- pilot_random_samplesnp.ndarray (nvars,npilot_samples)
The random samples used to compute the covariance. These samples DO NOT have a model id
- pilot_valuesnp.ndaray (npilot_samples,nmodels)
The values of each model at the pilot samples