factor_sequence

For under-relaxation of shared sample increments, apply a sequence of factors, one per iteration

Specification

• Alias: None

• Arguments: REALLIST

Description

When initial correlation / covariance approximations are inaccurate, iterated sample updates can be overly aggressive, such that it becomes advisable to only accept a portion of this suggested increment through use of an under-relaxation factor.

In the factor_sequence option, a sequence of relaxation factors is specified, one for each online iteration. Once the sequence is exhausted, all subsequent online iterations will continue to employ the final sequence value.

Usage Tips

While not required or enforced, it is often a good idea to end the sequence with a value of 1, corresponding to retirement of the relaxation process.

The one case where the relaxation factor is automatically advanced to 1 is the case where a max_iterations constraint will force early termination of the iteration. This avoids polluting the final results with an anticipated variance reduction that was not fully realized due to increment throttling.

The need for under-relaxation is usually highest on the initial iteration, corresponding to a smaller relaxation factor in the sequence (e.g., initial factor of .5 below). This need then decays as the shared samples approach the optimal allocation and the covariances approach their final values (e.g., subsequent factors of .75 and 1. below).

Examples

method,
    multilevel_blue
      solution_mode  online_pilot
        relaxation factor_sequence = .5 .75 1.
      pilot_samples = 25
      seed = 8674132
      max_function_evaluations = 500