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Dakota Reference Manual
Version 6.15
Explore and Predict with Confidence
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Rate of convergence of mean estimator within multilevel polynomial chaos
Alias: none
Argument(s): REAL
Default: 2
Multilevel Monte Carlo performs optimal resource allocation based on a known estimator variance for the mean statistic:
Replacing the simple ensemble average estimator in Monte Carlo with a polynomial chaos estimator results in a different and unknown relationship between the estimator variance and the number of samples. In one approach to multilevel PCE, we can employ a parameterized estimator variance:
for free parameters and
.
The default values are and
(adopts a more aggressive sample profile by assuming a faster convergence rate than Monte Carlo). This advanced specification option allows to user to specify
, overriding the default.