allocation_target

Allocation statistics/target for the MLMC sample allocation.

Specification

  • Alias: None

  • Arguments: None

  • Default: mean

Child Keywords:

Required/Optional

Description of Group

Dakota Keyword

Dakota Keyword Description

Required (Choose One)

Allocation target

mean

Fit MLMC sample allocation to control the variance of the estimator for the mean.

variance

Fit MLMC sample allocation to control the variance of the estimator for the variance.

standard_deviation

Fit MLMC sample allocation to control the variance of the estimator for the standard deviation.

scalarization

Fit MLMC sample allocation to a mixture of terms of means and standard deviations.

Description

Computes the variance of the estimator for a given statistics/target and fits sample allocation by solving the corresponding optimization problem. The allocation_target specification supports options of mean (default), variance an analytic approximation is available. Additionally, a numerical optimization can be used in that case, see variance option optimization.

Default Behavior “mean”

Examples

The following method block

method,
 model_pointer = 'HIERARCH'
        multilevel_sampling
   pilot_samples = 20 seed = 1237
   convergence_tolerance = .01
   allocation_target = variance

uses the variance as sample allocation target by computing its variance.