optimization

Solve the optimization problem for the sample allocation by numerical optimization in the case of sampling estimator targeting the scalarization.

Specification

  • Alias: None

  • Arguments: None

Description

Employ numerical optimization to solve the optimization problem for finding the optimal sample allocation when targeting the scalarization metric. This option needs NPSOL (preferred choice) or OPTPP (alternative choice) installed.

Default Behavior “off”

Examples

The following method block

method,
 model_pointer = 'HIERARCH'
        multilevel_sampling
   pilot_samples = 20 seed = 1237
   convergence_tolerance = .01
   allocation_target = scalarization
    scalarization_response_mapping = 1 0 0 0
                                                 0 0 1 3
                optimization

uses the scalarization as sample allocation target and solves the resulting optimization problem using numerical optimization.