max
Compute sample allocation for each response and use maximum over responses for each level in a MLMC algorithm
Specification
Alias: None
Arguments: None
Description
An individual sample allocation for each response using the respective variances of the allocation_target
of \(Y^i_\ell\) over all levels is computed; the maximum over all responses for each level is taken.
Examples
The following method block
method,
model_pointer = 'HIERARCH'
multilevel_sampling
pilot_samples = 20 seed = 1237
convergence_tolerance = .01
allocation_target = mean
qoi_aggregation = max
uses the max rule to aggregate the variance over the qois.