convergence_tolerance
Stopping criterion based on relative error reduction
Topics
method_independent_controls
Specification
Alias: None
Arguments: REAL
Default: 1.e-4
Description
The convergence_tolerance
specification provides a real value for
controlling the termination of iteration through satisfaction of a
specified accuracy at minimum total cost.
For multilevel and multifidelity sampling methods, it is a relative convergence tolerance on the mean squared error (MSE), where the MSE is typically comprised of known estimator variance (stochastic error), neglecting unknown residual bias (deterministic error).
The reference estimator variance is then defined as follows:
Multilevel approaches (
multilevel_sampling
andmultilevel_multifidelity_sampling
): tolerance relative to initial multilevel Monte Carlo (MLMC) error after pilot sampleControl variate approaches (
multifidelity_sampling
andapproximate_control_variate
): relative to Monte Carlo (MC) error from pilot sample where these are all initial estimator variances fot the algorithm, recognizing that control variate approaches can extract no benefit from low-fidelity pilot samples prior to the definition of corresponding sample increments.
Permissible values are between 0 and 1, non-inclusive. Default value is 1.e-4.