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.