mean
Fit MLMC sample allocation to control the variance of the estimator for the mean.
Specification
Alias: None
Arguments: None
Description
Computes the variance of the mean estimator and fits sample allocation by solving the corresponding optimization problem. This optimization problem is solved in analitically closed form.
Examples
The following method block
method,
model_pointer = 'HIERARCH'
multilevel_sampling
pilot_samples = 20 seed = 1237
convergence_tolerance = .01
allocation_target = mean
uses the mean as sample allocation target by computing its variance.