model_selection

Select the best subset of approximations within weighted multilevel Monte Carlo

Specification

• Alias: None

• Arguments: None

Description

Referring to acv_recursive_diff, weighted MLMC is a special case of ACV-RD where a hierarchical DAG is employed across the model approximations. As such, a weighted MLMC specification forwards to the generalized ACV solver, but with fixing the DAG to be hierarchical (each approximation node points to the next approximation of higher fidelity, ending with the truth model at the root node).

While the DAG is fixed, generalized ACV capabilities for model selection are available for a specification of search_model_graphs model_selection. Refer to model_selection for additional information on this capability.

Theory

Refer to [BLWL22] for understanding ACV generalizations for model selection for a given DAG.