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.