Performs multilevel-multifidelity Monte Carlo sampling for uncertainty quantification. More...

Inheritance diagram for NonDMultilevControlVarSampling:

Public Member Functions
	NonDMultilevControlVarSampling (ProblemDescDB &problem_db, Model &model)
	standard constructor More...

	~NonDMultilevControlVarSampling ()
	destructor

Public Member Functions inherited from NonDMultilevelSampling
	NonDMultilevelSampling (ProblemDescDB &problem_db, Model &model)
	standard constructor More...

	~NonDMultilevelSampling ()
	destructor

Public Member Functions inherited from NonDHierarchSampling
	NonDHierarchSampling (ProblemDescDB &problem_db, Model &model)
	standard constructor More...

virtual	~NonDHierarchSampling ()
	destructor (virtual declaration should be redundant with ~Iterator, but this is top of MLMF diamond so doesn't hurt to be explicit)

Public Member Functions inherited from NonDEnsembleSampling
	NonDEnsembleSampling (ProblemDescDB &problem_db, Model &model)
	standard constructor More...

	~NonDEnsembleSampling ()
	destructor (virtual declaration should be redundant with ~Iterator, but this is top of MLMF diamond so doesn't hurt to be explicit)

bool	resize ()
	reinitializes iterator based on new variable size

Public Member Functions inherited from NonDSampling
	NonDSampling (Model &model, const RealMatrix &sample_matrix)
	alternate constructor for evaluating and computing statistics for the provided set of samples More...

	~NonDSampling ()
	destructor

void	compute_statistics (const RealMatrix &vars_samples, const IntResponseMap &resp_samples)
	For the input sample set, computes mean, standard deviation, and probability/reliability/response levels (aleatory uncertainties) or intervals (epsitemic or mixed uncertainties)

void	compute_intervals (RealRealPairArray &extreme_fns)
	called by compute_statistics() to calculate min/max intervals using allResponses

void	compute_intervals (const IntResponseMap &samples)
	called by compute_statistics() to calculate extremeValues from samples

void	compute_intervals (RealRealPairArray &extreme_fns, const IntResponseMap &samples)
	called by compute_statistics() to calculate min/max intervals using samples

void	compute_moments (const RealVectorArray &fn_samples)
	calculates sample moments from a matrix of observations for a set of QoI

void	compute_moments (const IntResponseMap &samples)
	calculate sample moments and confidence intervals from a map of response observations

void	compute_moments (const IntResponseMap &samples, RealMatrix &moment_stats, RealMatrix &moment_grads, RealMatrix &moment_conf_ints, short moments_type, const StringArray &labels)
	convert IntResponseMap to RealVectorArray and invoke helpers

void	compute_moment_gradients (const RealVectorArray &fn_samples, const RealMatrixArray &grad_samples, const RealMatrix &moment_stats, RealMatrix &moment_grads, short moments_type)
	compute moment_grads from function and gradient samples

void	compute_moment_confidence_intervals (const RealMatrix &moment_stats, RealMatrix &moment_conf_ints, const SizetArray &sample_counts, short moments_type)
	compute moment confidence intervals from moment values

void	archive_moments (size_t inc_id=0)
	archive moment statistics in results DB

void	archive_moment_confidence_intervals (size_t inc_id=0)
	archive moment confidence intervals in results DB

void	archive_extreme_responses (size_t inc_id=0)
	archive extreme values (epistemic result) in results DB

void	compute_level_mappings (const IntResponseMap &samples)
	called by compute_statistics() to calculate CDF/CCDF mappings of z to p/beta and of p/beta to z as well as PDFs More...

void	print_statistics (std::ostream &s) const
	prints the statistics computed in compute_statistics()

void	print_intervals (std::ostream &s) const
	prints the intervals computed in compute_intervals() with default qoi_type and moment_labels

void	print_intervals (std::ostream &s, String qoi_type, const StringArray &interval_labels) const
	prints the intervals computed in compute_intervals()

void	print_moments (std::ostream &s) const
	prints the moments computed in compute_moments() with default qoi_type and moment_labels

void	print_moments (std::ostream &s, String qoi_type, const StringArray &moment_labels) const
	prints the moments computed in compute_moments()

void	print_wilks_stastics (std::ostream &s) const
	prints the Wilks stastics

void	update_final_statistics ()
	update finalStatistics from minValues/maxValues, momentStats, and computedProbLevels/computedRelLevels/computedRespLevels

void	transform_samples (Pecos::ProbabilityTransformation &nataf, bool x_to_u=true)
	transform allSamples imported by alternate constructor. This is needed since random variable distribution parameters are not updated until run time and an imported sample_matrix is typically in x-space. More...

void	transform_samples (Pecos::ProbabilityTransformation &nataf, RealMatrix &sample_matrix, int num_samples=0, bool x_to_u=true)
	transform the specified samples matrix from x to u or u to x

unsigned short	sampling_scheme () const
	return sampleType

const String &	random_number_generator () const
	return rngName

Public Member Functions inherited from NonD
void	requested_levels (const RealVectorArray &req_resp_levels, const RealVectorArray &req_prob_levels, const RealVectorArray &req_rel_levels, const RealVectorArray &req_gen_rel_levels, short resp_lev_tgt, short resp_lev_tgt_reduce, bool cdf_flag, bool pdf_output)
	set requestedRespLevels, requestedProbLevels, requestedRelLevels, requestedGenRelLevels, respLevelTarget, cdfFlag, and pdfOutput (used in combination with alternate ctors)

void	print_level_mappings (std::ostream &s) const
	prints the z/p/beta/beta* mappings reflected in {requested,computed}{Resp,Prob,Rel,GenRel}Levels for default qoi_type and qoi_labels

void	print_level_mappings (std::ostream &s, String qoi_type, const StringArray &qoi_labels) const
	prints the z/p/beta/beta* mappings reflected in {requested,computed}{Resp,Prob,Rel,GenRel}Levels More...

void	print_level_mappings (std::ostream &s, const RealVector &level_maps, bool moment_offset, const String &prepend="")
	print level mapping statistics using optional pre-pend More...

bool	pdf_output () const
	get pdfOutput

void	pdf_output (bool output)
	set pdfOutput

short	final_moments_type () const
	get finalMomentsType

void	final_moments_type (short type)
	set finalMomentsType

Public Member Functions inherited from Analyzer
const VariablesArray &	all_variables ()
	return the complete set of evaluated variables

const RealMatrix &	all_samples ()
	return the complete set of evaluated samples

const IntResponseMap &	all_responses () const
	return the complete set of computed responses

Public Member Functions inherited from Iterator
	Iterator (std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
	default constructor More...

	Iterator (ProblemDescDB &problem_db, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
	alternate envelope constructor that assigns a representation pointer More...

	Iterator (ProblemDescDB &problem_db, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
	alternate envelope constructor which uses the ProblemDescDB but accepts a model from a higher level (meta-iterator) context, instead of constructing its own More...

	Iterator (const String &method_string, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
	alternate envelope constructor for instantiations by name without the ProblemDescDB More...

	Iterator (const Iterator &iterator)
	copy constructor More...

virtual	~Iterator ()
	destructor

Iterator	operator= (const Iterator &iterator)
	assignment operator

virtual void	derived_free_communicators (ParLevLIter pl_iter)
	derived class contributions to freeing the communicators associated with this Iterator instance

virtual void	post_input ()
	read tabular data for post-run mode

virtual void	reset ()
	restore initial state for repeated sub-iterator executions

virtual void	nested_variable_mappings (const SizetArray &c_index1, const SizetArray &di_index1, const SizetArray &ds_index1, const SizetArray &dr_index1, const ShortArray &c_target2, const ShortArray &di_target2, const ShortArray &ds_target2, const ShortArray &dr_target2)
	set primaryA{CV,DIV,DRV}MapIndices, secondaryA{CV,DIV,DRV}MapTargets within derived Iterators; supports computation of higher-level sensitivities in nested contexts (e.g., derivatives of statistics w.r.t. inserted design variables)

virtual void	initialize_iterator (int job_index)
	used by IteratorScheduler to set the starting data for a run

virtual void	pack_parameters_buffer (MPIPackBuffer &send_buffer, int job_index)
	used by IteratorScheduler to pack starting data for an iterator run

virtual void	unpack_parameters_buffer (MPIUnpackBuffer &recv_buffer, int job_index)
	used by IteratorScheduler to unpack starting data for an iterator run

virtual void	unpack_parameters_initialize (MPIUnpackBuffer &recv_buffer, int job_index)
	used by IteratorScheduler to unpack starting data and initialize an iterator run

virtual void	pack_results_buffer (MPIPackBuffer &send_buffer, int job_index)
	used by IteratorScheduler to pack results data from an iterator run

virtual void	unpack_results_buffer (MPIUnpackBuffer &recv_buffer, int job_index)
	used by IteratorScheduler to unpack results data from an iterator run

virtual void	update_local_results (int job_index)
	used by IteratorScheduler to update local results arrays

virtual bool	accepts_multiple_points () const
	indicates if this iterator accepts multiple initial points. Default return is false. Override to return true if appropriate.

virtual void	initial_point (const Variables &pt)
	sets the initial point for this iterator (user-functions mode for which Model updating is not used)

virtual void	initial_point (const RealVector &pt)
	sets the initial point (active continuous variables) for this iterator (user-functions mode for which Model updating is not used)

virtual void	initial_points (const VariablesArray &pts)
	sets the multiple initial points for this iterator. This should only be used if accepts_multiple_points() returns true.

virtual void	variable_bounds (const RealVector &cv_lower_bnds, const RealVector &cv_upper_bnds)
	assign nonlinear inequality and equality constraint allowables for this iterator (user-functions mode for which Model updating is not used)

virtual void	linear_constraints (const RealMatrix &lin_ineq_coeffs, const RealVector &lin_ineq_lb, const RealVector &lin_ineq_ub, const RealMatrix &lin_eq_coeffs, const RealVector &lin_eq_tgt)
	assign linear inequality and linear equality constraints for this iterator (user-functions mode for which Model updating is not used)

virtual void	nonlinear_constraints (const RealVector &nln_ineq_lb, const RealVector &nln_ineq_ub, const RealVector &nln_eq_tgt)
	assign nonlinear inequality and equality constraint allowables for this iterator (user-functions mode for which Model updating is not used)

virtual void	initialize_graphics (int iterator_server_id=1)
	initialize the 2D graphics window and the tabular graphics data More...

virtual unsigned short	uses_method () const
	return name of any enabling iterator used by this iterator More...

virtual void	method_recourse ()
	perform a method switch, if possible, due to a detected conflict

virtual void	sampling_increment ()
	increment to next in sequence of refinement samples

virtual IntIntPair	estimate_partition_bounds ()
	estimate the minimum and maximum partition sizes that can be utilized by this Iterator

virtual void	declare_sources ()
	Declare sources to the evaluations database.

void	init_communicators (ParLevLIter pl_iter)
	initialize the communicators associated with this Iterator instance

void	set_communicators (ParLevLIter pl_iter)
	set the communicators associated with this Iterator instance

void	free_communicators (ParLevLIter pl_iter)
	free the communicators associated with this Iterator instance

void	resize_communicators (ParLevLIter pl_iter, bool reinit_comms)
	Resize the communicators. This is called from the letter's resize()

void	parallel_configuration_iterator (ParConfigLIter pc_iter)
	set methodPCIter

ParConfigLIter	parallel_configuration_iterator () const
	return methodPCIter

void	run (ParLevLIter pl_iter)
	invoke set_communicators(pl_iter) prior to run()

void	run ()
	orchestrate initialize/pre/core/post/finalize phases More...

void	assign_rep (std::shared_ptr< Iterator > iterator_rep)
	replaces existing letter with a new one More...

void	iterated_model (const Model &model)
	set the iteratedModel (iterators and meta-iterators using a single model instance)

Model &	iterated_model ()
	return the iteratedModel (iterators & meta-iterators using a single model instance)

ProblemDescDB &	problem_description_db () const
	return the problem description database (probDescDB)

ParallelLibrary &	parallel_library () const
	return the parallel library (parallelLib)

void	method_name (unsigned short m_name)
	set the method name to an enumeration value

unsigned short	method_name () const
	return the method name via its native enumeration value

void	method_string (const String &m_str)
	set the method name by string

String	method_string () const
	return the method name by string

String	method_enum_to_string (unsigned short method_enum) const
	convert a method name enumeration value to a string

unsigned short	method_string_to_enum (const String &method_str) const
	convert a method name string to an enumeration value

String	submethod_enum_to_string (unsigned short submethod_enum) const
	convert a sub-method name enumeration value to a string

const String &	method_id () const
	return the method identifier (methodId)

int	maximum_evaluation_concurrency () const
	return the maximum evaluation concurrency supported by the iterator

void	maximum_evaluation_concurrency (int max_conc)
	set the maximum evaluation concurrency supported by the iterator

size_t	maximum_iterations () const
	return the maximum iterations for this iterator

void	maximum_iterations (size_t max_iter)
	set the maximum iterations for this iterator

void	convergence_tolerance (Real conv_tol)
	set the method convergence tolerance (convergenceTol)

Real	convergence_tolerance () const
	return the method convergence tolerance (convergenceTol)

void	output_level (short out_lev)
	set the method output level (outputLevel)

short	output_level () const
	return the method output level (outputLevel)

void	summary_output (bool summary_output_flag)
	Set summary output control; true enables evaluation/results summary.

size_t	num_final_solutions () const
	return the number of solutions to retain in best variables/response arrays

void	num_final_solutions (size_t num_final)
	set the number of solutions to retain in best variables/response arrays

void	active_set (const ActiveSet &set)
	set the default active set (for use with iterators that employ evaluate_parameter_sets())

const ActiveSet &	active_set () const
	return the default active set (used by iterators that employ evaluate_parameter_sets())

void	active_set_request_vector (const ShortArray &asv)
	return the default active set request vector (used by iterators that employ evaluate_parameter_sets())

const ShortArray &	active_set_request_vector () const
	return the default active set request vector (used by iterators that employ evaluate_parameter_sets())

void	active_set_request_values (short asv_val)
	return the default active set request vector (used by iterators that employ evaluate_parameter_sets())

void	sub_iterator_flag (bool si_flag)
	set subIteratorFlag (and update summaryOutputFlag if needed)

bool	is_null () const
	function to check iteratorRep (does this envelope contain a letter?)

std::shared_ptr< Iterator >	iterator_rep () const
	returns iteratorRep for access to derived class member functions that are not mapped to the top Iterator level

virtual void	eval_tag_prefix (const String &eval_id_str)
	set the hierarchical eval ID tag prefix More...

std::shared_ptr< TraitsBase >	traits () const
	returns methodTraits for access to derived class member functions that are not mapped to the top TraitsBase level

bool	top_level ()
	Return whether the iterator is the top level iterator.

void	top_level (const bool &tflag)
	Set the iterator's top level flag.

Public Member Functions inherited from NonDControlVariateSampling
	NonDControlVariateSampling (ProblemDescDB &problem_db, Model &model)
	standard constructor More...

	~NonDControlVariateSampling ()
	destructor

Protected Member Functions
void	pre_run ()
	pre-run portion of run (optional); re-implemented by Iterators which can generate all Variables (parameter sets) a priori More...

void	core_run ()

Protected Member Functions inherited from NonDMultilevelSampling
void	core_run ()

void	nested_response_mappings (const RealMatrix &primary_coeffs, const RealMatrix &secondary_coeffs)
	set primaryResponseCoefficients, secondaryResponseCoefficients within derived Iterators; Necessary for scalarization case in MLMC NonDMultilevelSampling to map scalarization in nested context

void	evaluate_ml_sample_increment (unsigned short step)
	helper that consolidates sequence advancement, sample generation, sample export, and sample evaluation

void	increment_ml_equivalent_cost (size_t new_N_l, Real lev_cost, Real ref_cost)
	increment the equivalent number of HF evaluations based on new model evaluations

void	accumulate_ml_Ysums (IntRealMatrixMap &sum_Y, RealMatrix &sum_YY, size_t lev, const RealVector &offset, SizetArray &num_Y)
	update accumulators for multilevel telescoping running sums using set of model evaluations within allResponses

void	accumulate_ml_Qsums (IntRealMatrixMap &sum_Q, size_t lev, const RealVector &offset, SizetArray &num_Q)
	update running QoI sums for one model (sum_Q) using set of model evaluations within allResponses; used for level 0 from other accumulators

Real	aggregate_variance_Ysum (const Real sum_Y, const Real sum_YY, const SizetArray &N_l)
	sum up variances across QoI (using sum_YY with means from sum_Y)

Real	aggregate_mse_Yvar (const Real *var_Y, const SizetArray &N_l)
	sum up Monte Carlo estimates for mean squared error (MSE) across QoI using discrepancy variances

Real	aggregate_mse_Ysum (const Real sum_Y, const Real sum_YY, const SizetArray &N_l)
	sum up Monte Carlo estimates for mean squared error (MSE) across QoI using discrepancy sums

void	configure_indices (unsigned short group, unsigned short form, size_t lev, short seq_type)
	manage response mode and active model key from {group,form,lev} triplet. seq_type defines the active dimension for a 1D model sequence.

void	configure_indices (size_t group, size_t form, size_t lev, short seq_type)
	convert group and form and call overload

Real	level_cost (const RealVector &cost, size_t step)
	return (aggregate) level cost

Protected Member Functions inherited from NonDHierarchSampling
void	uncorrected_surrogate_mode ()
	synchronize iteratedModel and activeSet on UNCORRECTED_SURROGATE mode

Protected Member Functions inherited from NonDEnsembleSampling
virtual void	print_variance_reduction (std::ostream &s)

void	post_run (std::ostream &s)
	post-run portion of run (optional); verbose to print results; re-implemented by Iterators that can read all Variables/Responses and perform final analysis phase in a standalone way More...

void	print_results (std::ostream &s, short results_state=FINAL_RESULTS)
	print the final iterator results More...

void	aggregated_models_mode ()
	synchronize iteratedModel and activeSet on AGGREGATED_MODELS mode

void	bypass_surrogate_mode ()
	synchronize iteratedModel and activeSet on BYPASS_SURROGATE mode

void	assign_specification_sequence (size_t index)
	advance any sequence specifications

int	random_seed (size_t index) const
	extract current random seed from randomSeedSeqSpec More...

void	compute_mc_estimator_variance (const RealVector &var_l, const SizetArray &N_l, RealVector &mc_est_var)
	compute the variance of the mean estimator (Monte Carlo sample average)

void	project_mc_estimator_variance (const RealVector &var_l, const SizetArray &N_l, size_t new_samp, RealVector &mc_est_var)
	compute the variance of the mean estimator (Monte Carlo sample average) after projection with additional samples (var_l remains fixed)

void	export_all_samples (String root_prepend, const Model &model, size_t iter, size_t step)
	export allSamples to tagged tabular file

void	convert_moments (const RealMatrix &raw_mom, RealMatrix &final_mom)
	convert uncentered raw moments (multilevel expectations) to standardized moments

Real	sum (const Real *vec, size_t vec_len) const
	compute sum of a set of observations

Real	average (const Real *vec, size_t vec_len) const
	compute average of a set of observations

Real	average (const RealVector &vec) const
	compute average of a set of observations

Real	average (const SizetArray &sa) const
	compute average of a set of observations

void	average (const RealMatrix &mat, size_t avg_index, RealVector &avg_vec) const
	compute row-averages for each column or column-averages for each row

Protected Member Functions inherited from NonDSampling
	NonDSampling (ProblemDescDB &problem_db, Model &model)
	constructor More...

	NonDSampling (unsigned short method_name, Model &model, unsigned short sample_type, int samples, int seed, const String &rng, bool vary_pattern, short sampling_vars_mode)
	alternate constructor for sample generation and evaluation "on the fly" More...

	NonDSampling (unsigned short sample_type, int samples, int seed, const String &rng, const RealVector &lower_bnds, const RealVector &upper_bnds)
	alternate constructor for sample generation "on the fly" More...

	NonDSampling (unsigned short sample_type, int samples, int seed, const String &rng, const RealVector &means, const RealVector &std_devs, const RealVector &lower_bnds, const RealVector &upper_bnds, RealSymMatrix &correl)
	alternate constructor for sample generation of correlated normals "on the fly" More...

void	pre_run ()
	pre-run portion of run (optional); re-implemented by Iterators which can generate all Variables (parameter sets) a priori More...

void	core_run ()

int	num_samples () const

void	sampling_reset (int min_samples, bool all_data_flag, bool stats_flag)
	resets number of samples and sampling flags More...

void	sampling_reference (int samples_ref)
	set reference number of samples, which is a lower bound during reset

void	random_seed (int seed)
	assign randomSeed

void	vary_pattern (bool pattern_flag)
	set varyPattern

void	get_parameter_sets (Model &model)
	Uses lhsDriver to generate a set of samples from the distributions/bounds defined in the incoming model. More...

void	get_parameter_sets (Model &model, const int num_samples, RealMatrix &design_matrix)
	Uses lhsDriver to generate a set of samples from the distributions/bounds defined in the incoming model and populates the specified design matrix. More...

void	get_parameter_sets (Model &model, const int num_samples, RealMatrix &design_matrix, bool write_msg)
	core of get_parameter_sets that accepts message print control

void	get_parameter_sets (const RealVector &lower_bnds, const RealVector &upper_bnds)
	Uses lhsDriver to generate a set of uniform samples over lower_bnds/upper_bnds. More...

void	get_parameter_sets (const RealVector &means, const RealVector &std_devs, const RealVector &lower_bnds, const RealVector &upper_bnds, RealSymMatrix &correl)
	Uses lhsDriver to generate a set of normal samples. More...

void	update_model_from_sample (Model &model, const Real *sample_vars)
	Override default update of continuous vars only.

void	sample_to_variables (const Real *sample_vars, Variables &vars)
	override default mapping of continuous variables only

void	variables_to_sample (const Variables &vars, Real *sample_vars)
	override default mapping of continuous variables only

const RealVector &	response_error_estimates () const
	return error estimates associated with each of the finalStatistics

void	initialize_lhs (bool write_message, int num_samples)
	increments numLHSRuns, sets random seed, and initializes lhsDriver

void	active_set_mapping ()
	in the case of sub-iteration, map from finalStatistics.active_set() requests to activeSet used in evaluate_parameter_sets() More...

void	mode_counts (const Variables &vars, size_t &cv_start, size_t &num_cv, size_t &div_start, size_t &num_div, size_t &dsv_start, size_t &num_dsv, size_t &drv_start, size_t &num_drv) const
	compute sampled subsets (all, active, uncertain) within all variables (acv/adiv/adrv) from samplingVarsMode and model More...

void	mode_bits (const Variables &vars, BitArray &active_vars, BitArray &active_corr) const
	define subset views for sampling modes

Protected Member Functions inherited from NonD
	NonD (ProblemDescDB &problem_db, Model &model)
	constructor

	NonD (unsigned short method_name, Model &model)
	alternate constructor for sample generation and evaluation "on the fly"

	NonD (unsigned short method_name, const RealVector &lower_bnds, const RealVector &upper_bnds)
	alternate constructor for sample generation "on the fly"

	~NonD ()
	destructor

void	derived_set_communicators (ParLevLIter pl_iter)
	derived class contributions to setting the communicators associated with this Iterator instance

void	initialize_run ()
	utility function to perform common operations prior to pre_run(); typically memory initialization; setting of instance pointers More...

void	finalize_run ()
	utility function to perform common operations following post_run(); deallocation and resetting of instance pointers More...

const Response &	response_results () const
	return the final statistics from the nondeterministic iteration

void	response_results_active_set (const ActiveSet &set)
	set the active set within finalStatistics

virtual void	initialize_response_covariance ()
	initializes respCovariance

virtual void	initialize_final_statistics ()
	initializes finalStatistics for storing NonD final results More...

void	pull_level_mappings (RealVector &level_maps, size_t offset)
	concatenate computed{Resp,Prob,Rel,GenRel}Levels into level_maps

void	push_level_mappings (const RealVector &level_maps, size_t offset)
	update computed{Resp,Prob,Rel,GenRel}Levels from level_maps

void	configure_sequence (size_t &num_steps, size_t &fixed_index, short &seq_type)
	configure fidelity/level counts from model hierarchy More...

void	configure_cost (unsigned short num_steps, bool multilevel, RealVector &cost)
	extract cost estimates from model hierarchy (forms or resolutions)

bool	query_cost (unsigned short num_steps, bool multilevel, RealVector &cost)
	extract cost estimates from model hierarchy, if available

void	load_pilot_sample (const SizetArray &pilot_spec, size_t num_steps, SizetArray &delta_N_l)
	distribute pilot sample specification across model forms or levels

void	load_pilot_sample (const SizetArray &pilot_spec, const Sizet3DArray &N_l, Sizet2DArray &delta_N_l)
	distribute pilot sample specification across model forms and levels

void	inflate_final_samples (const Sizet2DArray &N_l_2D, bool multilev, size_t fixed_index, Sizet3DArray &N_l_3D)
	update the relevant slice of N_l_3D from the final 2D multilevel or 2D multifidelity sample profile

void	resize_final_statistics_gradients ()
	resizes finalStatistics::functionGradients based on finalStatistics ASV

void	update_aleatory_final_statistics ()
	update finalStatistics::functionValues from momentStats and computed{Prob,Rel,GenRel,Resp}Levels

void	update_system_final_statistics ()
	update system metrics from component metrics within finalStatistics

void	update_system_final_statistics_gradients ()
	update finalStatistics::functionGradients

void	initialize_level_mappings ()
	size computed{Resp,Prob,Rel,GenRel}Levels

void	compute_densities (const RealRealPairArray &min_max_fns, bool prob_refinement=false, bool all_levels_computed=false)
	compute the PDF bins from the CDF/CCDF values and store in computedPDF{Abscissas,Ordinates} More...

void	print_densities (std::ostream &s) const
	output the PDFs reflected in computedPDF{Abscissas,Ordinates} using default qoi_type and pdf_labels

void	print_densities (std::ostream &s, String qoi_type, const StringArray &pdf_labels) const
	output the PDFs reflected in computedPDF{Abscissas,Ordinates}

void	print_system_mappings (std::ostream &s) const
	print system series/parallel mappings for response levels

void	print_multilevel_evaluation_summary (std::ostream &s, const SizetArray &N_samp)
	print evaluation summary for multilevel sampling across 1D profile

void	print_multilevel_evaluation_summary (std::ostream &s, const Sizet2DArray &N_samp)
	print evaluation summary for multilevel sampling across 2D profile

void	print_multilevel_evaluation_summary (std::ostream &s, const Sizet3DArray &N_samp, String type="Final")
	print evaluation summary for multilevel sampling across 3D profile

void	construct_lhs (Iterator &u_space_sampler, Model &u_model, unsigned short sample_type, int num_samples, int seed, const String &rng, bool vary_pattern, short sampling_vars_mode=ACTIVE)
	assign a NonDLHSSampling instance within u_space_sampler

unsigned short	sub_optimizer_select (unsigned short requested_sub_method, unsigned short default_sub_method=SUBMETHOD_SQP)
	utility for vetting sub-method request against optimizers within the package configuration

size_t	one_sided_delta (Real current, Real target)
	compute a one-sided sample increment for multilevel methods to move current sampling level to a new target

size_t	one_sided_delta (const SizetArray &current, const RealVector &targets, size_t power)
	compute a one-sided sample increment for multilevel methods to move current sampling level to a new target

void	archive_allocate_mappings ()
	allocate results array storage for distribution mappings

void	archive_from_resp (size_t fn_index, size_t inc_id=0)
	archive the mappings from specified response levels for specified fn

void	archive_to_resp (size_t fn_index, size_t inc_id=0)
	archive the mappings to computed response levels for specified fn and (optional) increment id.

void	archive_allocate_pdf ()
	allocate results array storage for pdf histograms

void	archive_pdf (size_t fn_index, size_t inc_id=0)
	archive a single pdf histogram for specified function

void	archive_equiv_hf_evals (const Real equiv_hf_evals)
	archive the equivalent number of HF evals (used by ML/MF methods)

Protected Member Functions inherited from Analyzer
	Analyzer ()
	default constructor

	Analyzer (ProblemDescDB &problem_db, Model &model)
	standard constructor

	Analyzer (unsigned short method_name, Model &model)
	alternate constructor for instantiations "on the fly" with a Model

	Analyzer (unsigned short method_name)
	alternate constructor for instantiations "on the fly" without a Model

	~Analyzer ()
	destructor

virtual void	update_model_from_variables (Model &model, const Variables &vars)
	update model's current variables with data from vars

void	update_from_model (const Model &model)
	set inherited data attributes based on extractions from incoming model

void	pre_output ()

const Model &	algorithm_space_model () const

const Variables &	variables_results () const
	return a single final iterator solution (variables)

const VariablesArray &	variables_array_results ()
	return multiple final iterator solutions (variables). This should only be used if returns_multiple_points() returns true.

const ResponseArray &	response_array_results ()
	return multiple final iterator solutions (response). This should only be used if returns_multiple_points() returns true.

bool	compact_mode () const
	returns Analyzer::compactMode

bool	returns_multiple_points () const
	indicates if this iterator returns multiple final points. Default return is false. Override to return true if appropriate.

void	evaluate_parameter_sets (Model &model, bool log_resp_flag, bool log_best_flag)
	perform function evaluations to map parameter sets (allVariables) into response sets (allResponses) More...

void	get_vbd_parameter_sets (Model &model, int num_samples)
	generate replicate parameter sets for use in variance-based decomposition More...

void	compute_vbd_stats (const int num_samples, const IntResponseMap &resp_samples)
	compute VBD-based Sobol indices More...

void	archive_sobol_indices () const
	archive VBD-based Sobol indices More...

virtual void	archive_model_variables (const Model &, size_t idx) const
	archive model evaluation points

virtual void	archive_model_response (const Response &, size_t idx) const
	archive model evaluation responses

void	read_variables_responses (int num_evals, size_t num_vars)
	convenience function for reading variables/responses (used in derived classes post_input) More...

void	print_sobol_indices (std::ostream &s) const
	Printing of VBD results. More...

void	samples_to_variables_array (const RealMatrix &sample_matrix, VariablesArray &vars_array)
	convert samples array to variables array; e.g., allSamples to allVariables

void	variables_array_to_samples (const VariablesArray &vars_array, RealMatrix &sample_matrix)
	convert variables array to samples array; e.g., allVariables to allSamples

Protected Member Functions inherited from Iterator
	Iterator (BaseConstructor, ProblemDescDB &problem_db, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
	constructor initializes the base class part of letter classes (BaseConstructor overloading avoids infinite recursion in the derived class constructors - Coplien, p. 139) More...

	Iterator (NoDBBaseConstructor, unsigned short method_name, Model &model, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
	alternate constructor for base iterator classes constructed on the fly More...

	Iterator (NoDBBaseConstructor, unsigned short method_name, std::shared_ptr< TraitsBase > traits=std::shared_ptr< TraitsBase >(new TraitsBase()))
	alternate constructor for base iterator classes constructed on the fly More...

virtual void	derived_init_communicators (ParLevLIter pl_iter)
	derived class contributions to initializing the communicators associated with this Iterator instance

virtual const VariablesArray &	initial_points () const
	gets the multiple initial points for this iterator. This will only be meaningful after a call to initial_points mutator.

StrStrSizet	run_identifier () const
	get the unique run identifier based on method name, id, and number of executions

void	initialize_model_graphics (Model &model, int iterator_server_id)
	helper function that encapsulates initialization operations, modular on incoming Model instance More...

void	export_final_surrogates (Model &data_fit_surr_model)
	export final surrogates generated, e.g., GP in EGO and friends More...

Protected Member Functions inherited from NonDControlVariateSampling
bool	lf_increment (const RealVector &eval_ratios, const SizetArray &N_lf, const SizetArray &N_hf, size_t iter, size_t lev)
	perform LF sample increment as indicated by the evaluation ratio More...

void	compute_mf_control (Real sum_L, Real sum_H, Real sum_LL, Real sum_LH, size_t N_shared, Real &beta)
	compute scalar control variate parameters

void	compute_mf_control (const RealMatrix &sum_L, const RealMatrix &sum_H, const RealMatrix &sum_LL, const RealMatrix &sum_LH, const SizetArray &N_shared, size_t lev, RealVector &beta)
	compute matrix control variate parameters

void	compute_mf_correlation (Real sum_L, Real sum_H, Real sum_LL, Real sum_LH, Real sum_HH, size_t N_shared, Real &var_H, Real &rho2_LH)
	compute scalar variance and correlation parameters for control variates

void	apply_mf_control (Real sum_H, Real sum_L_shared, size_t N_shared, Real sum_L_refined, size_t N_refined, Real beta, Real &H_raw_mom)
	apply scalar control variate parameter (beta) to approximate HF moment

void	apply_mf_control (const RealMatrix &sum_H, const RealMatrix &sum_L_shared, const SizetArray &N_shared, const RealMatrix &sum_L_refined, const SizetArray &N_refined, size_t lev, const RealVector &beta, RealVector &H_raw_mom)
	apply matrix control variate parameter (beta) to approximate HF moment

Private Member Functions
void	multilevel_control_variate_mc_Ycorr ()
	Perform multilevel Monte Carlo across levels in combination with control variate Monte Carlo across model forms at each level; CV computes correlations for Y (LH correlations for level discrepancies) More...

void	multilevel_control_variate_mc_Qcorr ()
	Perform multilevel Monte Carlo across levels in combination with control variate Monte Carlo across model forms at each level; CV computes correlations for Q (LH correlations for QoI) More...

void	compute_mlmf_equivalent_cost (const SizetArray &raw_N_hf, const RealVector &hf_cost, const SizetArray &raw_N_lf, const RealVector &lf_cost)
	compute the equivalent number of HF evaluations (includes any sim faults)

void	increment_mlmf_equivalent_cost (size_t new_N_hf, Real hf_lev_cost, size_t new_N_lf, Real lf_lev_cost, Real hf_ref_cost)
	increment the equivalent number of HF evaluations

void	compute_eval_ratios (RealMatrix &sum_L_shared, RealMatrix &sum_H, RealMatrix &sum_LL, RealMatrix &sum_LH, RealMatrix &sum_HH, Real cost_ratio, size_t lev, const SizetArray &N_shared, RealMatrix &var_H, RealMatrix &rho2_LH, RealVector &eval_ratios)
	compute the LF/HF evaluation ratio, averaged over the QoI

void	compute_eval_ratios (RealMatrix &sum_Ll, RealMatrix &sum_Llm1, RealMatrix &sum_Hl, RealMatrix &sum_Hlm1, RealMatrix &sum_Ll_Ll, RealMatrix &sum_Ll_Llm1, RealMatrix &sum_Llm1_Llm1, RealMatrix &sum_Hl_Ll, RealMatrix &sum_Hl_Llm1, RealMatrix &sum_Hlm1_Ll, RealMatrix &sum_Hlm1_Llm1, RealMatrix &sum_Hl_Hl, RealMatrix &sum_Hl_Hlm1, RealMatrix &sum_Hlm1_Hlm1, Real cost_ratio, size_t lev, const SizetArray &N_shared, RealMatrix &var_YHl, RealMatrix &rho_dot2_LH, RealVector &eval_ratios)
	compute the LF/HF evaluation ratio, averaged over the QoI

void	cv_raw_moments (IntRealMatrixMap &sum_L_shared, IntRealMatrixMap &sum_H, IntRealMatrixMap &sum_LL, IntRealMatrixMap &sum_LH, const SizetArray &N_shared, IntRealMatrixMap &sum_L_refined, const SizetArray &N_refined, const RealMatrix &rho2_LH, size_t lev, RealMatrix &H_raw_mom)
	apply control variate parameters for MLMF MC to estimate raw moment contributions

void	cv_raw_moments (IntRealMatrixMap &sum_Ll, IntRealMatrixMap &sum_Llm1, IntRealMatrixMap &sum_Hl, IntRealMatrixMap &sum_Hlm1, IntRealMatrixMap &sum_Ll_Ll, IntRealMatrixMap &sum_Ll_Llm1, IntRealMatrixMap &sum_Llm1_Llm1, IntRealMatrixMap &sum_Hl_Ll, IntRealMatrixMap &sum_Hl_Llm1, IntRealMatrixMap &sum_Hlm1_Ll, IntRealMatrixMap &sum_Hlm1_Llm1, IntRealMatrixMap &sum_Hl_Hl, IntRealMatrixMap &sum_Hl_Hlm1, IntRealMatrixMap &sum_Hlm1_Hlm1, const SizetArray &N_shared, IntRealMatrixMap &sum_Ll_refined, IntRealMatrixMap &sum_Llm1_refined, const SizetArray &N_refined, const RealMatrix &rho_dot2_LH, size_t lev, RealMatrix &H_raw_mom)
	apply control variate parameters for MLMF MC to estimate raw moment contributions

void	compute_mlmf_control (Real sum_Ll, Real sum_Llm1, Real sum_Hl, Real sum_Hlm1, Real sum_Ll_Ll, Real sum_Ll_Llm1, Real sum_Llm1_Llm1, Real sum_Hl_Ll, Real sum_Hl_Llm1, Real sum_Hlm1_Ll, Real sum_Hlm1_Llm1, Real sum_Hl_Hl, Real sum_Hl_Hlm1, Real sum_Hlm1_Hlm1, size_t N_shared, Real &var_YH, Real &rho_dot2_LH, Real &beta_dot, Real &gamma)
	compute scalar control variate parameters

void	compute_mlmf_control (const RealMatrix &sum_Ll, const RealMatrix &sum_Llm1, const RealMatrix &sum_Hl, const RealMatrix &sum_Hlm1, const RealMatrix &sum_Ll_Ll, const RealMatrix &sum_Ll_Llm1, const RealMatrix &sum_Llm1_Llm1, const RealMatrix &sum_Hl_Ll, const RealMatrix &sum_Hl_Llm1, const RealMatrix &sum_Hlm1_Ll, const RealMatrix &sum_Hlm1_Llm1, const RealMatrix &sum_Hl_Hl, const RealMatrix &sum_Hl_Hlm1, const RealMatrix &sum_Hlm1_Hlm1, const SizetArray &N_shared, size_t lev, RealVector &beta_dot, RealVector &gamma)
	compute matrix control variate parameters

void	apply_mlmf_control (Real sum_Hl, Real sum_Hlm1, Real sum_Ll, Real sum_Llm1, size_t N_shared, Real sum_Ll_refined, Real sum_Llm1_refined, size_t N_refined, Real beta_dot, Real gamma, Real &H_raw_mom)
	apply scalar control variate parameter (beta) to approximate HF moment

void	apply_mlmf_control (const RealMatrix &sum_Hl, const RealMatrix &sum_Hlm1, const RealMatrix &sum_Ll, const RealMatrix &sum_Llm1, const SizetArray &N_shared, const RealMatrix &sum_Ll_refined, const RealMatrix &sum_Llm1_refined, const SizetArray &N_refined, size_t lev, const RealVector &beta_dot, const RealVector &gamma, RealVector &H_raw_mom)
	apply matrix control variate parameter (beta) to approximate HF moment

void	initialize_mlmf_sums (IntRealMatrixMap &sum_L_shared, IntRealMatrixMap &sum_L_refined, IntRealMatrixMap &sum_H, IntRealMatrixMap &sum_LL, IntRealMatrixMap &sum_LH, IntRealMatrixMap &sum_HH, size_t num_ml_lev, size_t num_cv_lev)
	initialize the MLMF accumulators for computing means, variances, and covariances across fidelity levels

void	initialize_mlmf_sums (IntRealMatrixMap &sum_Ll, IntRealMatrixMap &sum_Llm1, IntRealMatrixMap &sum_Ll_refined, IntRealMatrixMap &sum_Llm1_refined, IntRealMatrixMap &sum_Hl, IntRealMatrixMap &sum_Hlm1, IntRealMatrixMap &sum_Ll_Ll, IntRealMatrixMap &sum_Ll_Llm1, IntRealMatrixMap &sum_Llm1_Llm1, IntRealMatrixMap &sum_Hl_Ll, IntRealMatrixMap &sum_Hl_Llm1, IntRealMatrixMap &sum_Hlm1_Ll, IntRealMatrixMap &sum_Hlm1_Llm1, IntRealMatrixMap &sum_Hl_Hl, IntRealMatrixMap &sum_Hl_Hlm1, IntRealMatrixMap &sum_Hlm1_Hlm1, size_t num_ml_lev, size_t num_cv_lev)
	initialize the MLMF accumulators for computing means, variances, and covariances across fidelity levels

void	accumulate_mlmf_Qsums (IntRealMatrixMap &sum_Ql, IntRealMatrixMap &sum_Qlm1, size_t lev, const RealVector &offset, SizetArray &num_Q)
	update running QoI sums for one model at two levels (sum_Ql, sum_Qlm1) using set of model evaluations within allResponses

void	accumulate_mlmf_Ysums (IntRealMatrixMap &sum_Y, size_t lev, const RealVector &offset, SizetArray &num_Y)
	update running discrepancy sums for one model (sum_Y) using set of model evaluations within allResponses

void	accumulate_mlmf_Qsums (const IntResponseMap &lf_resp_map, const IntResponseMap &hf_resp_map, IntRealMatrixMap &sum_L_shared, IntRealMatrixMap &sum_L_refined, IntRealMatrixMap &sum_H, IntRealMatrixMap &sum_LL, IntRealMatrixMap &sum_LH, IntRealMatrixMap &sum_HH, size_t lev, const RealVector &lf_offset, const RealVector &hf_offset, SizetArray &num_L, SizetArray &num_H)
	update running QoI sums for two models (sum_L, sum_H, sum_LL, sum_LH, and sum_HH) from set of low/high fidelity model evaluations within {lf,hf}_resp_map; used for level 0 from other accumulators

void	accumulate_mlmf_Ysums (const IntResponseMap &lf_resp_map, const IntResponseMap &hf_resp_map, IntRealMatrixMap &sum_L_shared, IntRealMatrixMap &sum_L_refined, IntRealMatrixMap &sum_H, IntRealMatrixMap &sum_LL, IntRealMatrixMap &sum_LH, IntRealMatrixMap &sum_HH, size_t lev, const RealVector &lf_offset, const RealVector &hf_offset, SizetArray &num_L, SizetArray &num_H)
	update running two-level discrepancy sums for two models (sum_L, sum_H, sum_LL, sum_LH, and sum_HH) from set of low/high fidelity model evaluations within {lf,hf}resp_map

void	accumulate_mlmf_Qsums (const IntResponseMap &lf_resp_map, const IntResponseMap &hf_resp_map, IntRealMatrixMap &sum_Ll, IntRealMatrixMap &sum_Llm1, IntRealMatrixMap &sum_Ll_refined, IntRealMatrixMap &sum_Llm1_refined, IntRealMatrixMap &sum_Hl, IntRealMatrixMap &sum_Hlm1, IntRealMatrixMap &sum_Ll_Ll, IntRealMatrixMap &sum_Ll_Llm1, IntRealMatrixMap &sum_Llm1_Llm1, IntRealMatrixMap &sum_Hl_Ll, IntRealMatrixMap &sum_Hl_Llm1, IntRealMatrixMap &sum_Hlm1_Ll, IntRealMatrixMap &sum_Hlm1_Llm1, IntRealMatrixMap &sum_Hl_Hl, IntRealMatrixMap &sum_Hl_Hlm1, IntRealMatrixMap &sum_Hlm1_Hlm1, size_t lev, const RealVector &lf_offset, const RealVector &hf_offset, SizetArray &num_L, SizetArray &num_H)
	update running QoI sums for two models and two levels from set of low/high fidelity model evaluations within {lf,hf}_resp_map

Additional Inherited Members
Static Public Member Functions inherited from NonDSampling
static void	compute_moments (const RealVectorArray &fn_samples, SizetArray &sample_counts, RealMatrix &moment_stats, short moments_type, const StringArray &labels)
	core compute_moments() implementation with all data as inputs

static void	compute_moments (const RealVectorArray &fn_samples, RealMatrix &moment_stats, short moments_type)
	core compute_moments() implementation with all data as inputs

static void	compute_moments (const RealMatrix &fn_samples, RealMatrix &moment_stats, short moments_type)
	alternate RealMatrix samples API for use by external clients

static void	print_moments (std::ostream &s, const RealMatrix &moment_stats, const RealMatrix moment_cis, String qoi_type, short moments_type, const StringArray &moment_labels, bool print_cis)
	core print moments that can be called without object

static int	compute_wilks_sample_size (unsigned short order, Real alpha, Real beta, bool twosided=false)
	calculates the number of samples using the Wilks formula Static so I can test without instantiating a NonDSampling object - RWH

static Real	compute_wilks_residual (unsigned short order, int nsamples, Real alpha, Real beta, bool twosided)
	Helper function - calculates the Wilks residual.

static Real	compute_wilks_alpha (unsigned short order, int nsamples, Real beta, bool twosided=false)
	calculates the alpha paramter given number of samples using the Wilks formula Static so I can test without instantiating a NonDSampling object - RWH

static Real	compute_wilks_beta (unsigned short order, int nsamples, Real alpha, bool twosided=false)
	calculates the beta paramter given number of samples using the Wilks formula Static so I can test without instantiating a NonDSampling object - RWH

static Real	get_wilks_alpha_min ()
	Get the lower and upper bounds supported by Wilks bisection solves.

static Real	get_wilks_alpha_max ()

static Real	get_wilks_beta_min ()

static Real	get_wilks_beta_max ()

Static Protected Member Functions inherited from NonDEnsembleSampling
static void	uncentered_to_centered (Real rm1, Real rm2, Real rm3, Real rm4, Real &cm1, Real &cm2, Real &cm3, Real &cm4, size_t Nlq)
	convert uncentered (raw) moments to centered moments; biased estimators More...

static void	uncentered_to_centered (Real rm1, Real rm2, Real rm3, Real rm4, Real &cm1, Real &cm2, Real &cm3, Real &cm4)
	convert uncentered (raw) moments to centered moments; unbiased estimators More...

static void	centered_to_standard (Real cm1, Real cm2, Real cm3, Real cm4, Real &sm1, Real &sm2, Real &sm3, Real &sm4)
	convert centered moments to standardized moments

static void	check_negative (Real &cm)
	detect, warn, and repair a negative central moment (for even orders)

Protected Attributes inherited from NonDEnsembleSampling
Sizet3DArray	NLev
	total number of successful sample evaluations (excluding faults) for each model form, discretization level, and QoI

SizetArray	pilotSamples
	store the pilot_samples input specification, prior to run-time invocation of load_pilot_sample()

SizetArray	randomSeedSeqSpec
	user specification for seed_sequence

size_t	mlmfIter
	major iteration counter

Real	equivHFEvals
	equivalent number of high fidelity evaluations accumulated using samples across multiple model forms and/or discretization levels

bool	exportSampleSets
	if defined, export each of the sample increments in ML, CV, MLCV using tagged tabular files

unsigned short	exportSamplesFormat
	format for exporting sample increments using tagged tabular files

Protected Attributes inherited from NonDControlVariateSampling
bool	finalCVRefinement
	if defined, complete the final CV refinement when terminating MLCV based on maxIterations (the total number of refinements beyond the pilot sample will be one more for CV than for ML). This approach is consistent with normal termination based on l1_norm(delta_N_hf) = 0.

Static Protected Attributes inherited from NonD
static NonD *	nondInstance
	pointer to the active object instance used within static evaluator functions in order to avoid the need for static data

Detailed Description

Performs multilevel-multifidelity Monte Carlo sampling for uncertainty quantification.

Multilevel-multifidelity Monte Carlo (MLMFMC) combines variance decay across model resolutions with variance reduction from a control variate across model fidelities.

Constructor & Destructor Documentation

NonDMultilevControlVarSampling	(	ProblemDescDB &	problem_db,
		Model &	model
	)

standard constructor

This constructor is called for a standard letter-envelope iterator instantiation. In this case, set_db_list_nodes has been called and probDescDB can be queried for settings from the method specification.

References Iterator::iteratedModel, and Model::multilevel_multifidelity().

Member Function Documentation

void pre_run ( )

protectedvirtual

pre-run portion of run (optional); re-implemented by Iterators which can generate all Variables (parameter sets) a priori

pre-run phase, which a derived iterator may optionally reimplement; when not present, pre-run is likely integrated into the derived run function. This is a virtual function; when re-implementing, a derived class must call its nearest parent's pre_run(), if implemented, typically before performing its own implementation steps.

Reimplemented from NonDEnsembleSampling.

References NonDEnsembleSampling::NLev, Analyzer::numFunctions, and NonDEnsembleSampling::pre_run().

void core_run ( )

protectedvirtual

The primary run function manages the general case: a hierarchy of model forms (from the ordered model fidelities within a HierarchSurrModel), each of which may contain multiple discretization levels.

Reimplemented from NonDControlVariateSampling.

References NonDControlVariateSampling::core_run(), NonDMultilevelSampling::core_run(), Iterator::iteratedModel, NonDMultilevControlVarSampling::multilevel_control_variate_mc_Qcorr(), NonDMultilevControlVarSampling::multilevel_control_variate_mc_Ycorr(), and Model::subordinate_models().

void multilevel_control_variate_mc_Ycorr ( )

private

Perform multilevel Monte Carlo across levels in combination with control variate Monte Carlo across model forms at each level; CV computes correlations for Y (LH correlations for level discrepancies)

This function performs "geometrical" MLMC across discretization levels for the high fidelity model form where CVMC si employed across two model forms to exploit correlation in the discrepancies at each level (Y_l).

References NonDMultilevelSampling::accumulate_ml_Ysums(), NonDMultilevControlVarSampling::accumulate_mlmf_Ysums(), Model::active_model_key(), NonDMultilevelSampling::aggregate_mse_Ysum(), NonDMultilevelSampling::aggregate_mse_Yvar(), NonDMultilevelSampling::aggregate_variance_Ysum(), Analyzer::allResponses, NonDEnsembleSampling::average(), NonDMultilevControlVarSampling::compute_eval_ratios(), NonDMultilevelSampling::configure_indices(), Iterator::convergenceTol, NonDEnsembleSampling::convert_moments(), NonDMultilevControlVarSampling::cv_raw_moments(), NonDMultilevelSampling::evaluate_ml_sample_increment(), Analyzer::evaluate_parameter_sets(), NonDMultilevelSampling::increment_ml_equivalent_cost(), NonDMultilevControlVarSampling::increment_mlmf_equivalent_cost(), NonDMultilevControlVarSampling::initialize_mlmf_sums(), Iterator::iteratedModel, NonDMultilevelSampling::level_cost(), NonDControlVariateSampling::lf_increment(), NonD::load_pilot_sample(), Iterator::maxFunctionEvals, Iterator::maxIterations, NonDEnsembleSampling::mlmfIter, NonD::momentStats, NonDEnsembleSampling::NLev, Analyzer::numFunctions, NonDSampling::numSamples, NonD::one_sided_delta(), Iterator::outputLevel, NonDEnsembleSampling::pilotSamples, Model::solution_level_costs(), Model::solution_levels(), NonDEnsembleSampling::sum(), Model::surrogate_model(), Dakota::SZ_MAX, and Model::truth_model().

Referenced by NonDMultilevControlVarSampling::core_run().

void multilevel_control_variate_mc_Qcorr ( )

private

Perform multilevel Monte Carlo across levels in combination with control variate Monte Carlo across model forms at each level; CV computes correlations for Q (LH correlations for QoI)

This function performs "geometrical" MLMC across discretization levels for the high fidelity model form where CVMC is employed across two model forms. It generalizes the Y_l correlation case to separately target correlations for each QoI level embedded within the level discrepancies.

References NonDMultilevelSampling::accumulate_ml_Ysums(), NonDMultilevControlVarSampling::accumulate_mlmf_Qsums(), Model::active_model_key(), NonDMultilevelSampling::aggregate_mse_Ysum(), NonDMultilevelSampling::aggregate_mse_Yvar(), NonDMultilevelSampling::aggregate_variance_Ysum(), Analyzer::allResponses, NonDEnsembleSampling::average(), NonDMultilevControlVarSampling::compute_eval_ratios(), NonDMultilevelSampling::configure_indices(), Iterator::convergenceTol, NonDEnsembleSampling::convert_moments(), NonDMultilevControlVarSampling::cv_raw_moments(), NonDMultilevelSampling::evaluate_ml_sample_increment(), Analyzer::evaluate_parameter_sets(), NonDMultilevelSampling::increment_ml_equivalent_cost(), NonDMultilevControlVarSampling::increment_mlmf_equivalent_cost(), NonDMultilevControlVarSampling::initialize_mlmf_sums(), Iterator::iteratedModel, NonDMultilevelSampling::level_cost(), NonDControlVariateSampling::lf_increment(), NonD::load_pilot_sample(), Iterator::maxFunctionEvals, Iterator::maxIterations, NonDEnsembleSampling::mlmfIter, NonD::momentStats, NonDEnsembleSampling::NLev, Analyzer::numFunctions, NonDSampling::numSamples, NonD::one_sided_delta(), Iterator::outputLevel, NonDEnsembleSampling::pilotSamples, Model::solution_level_costs(), Model::solution_levels(), NonDEnsembleSampling::sum(), Model::surrogate_model(), Dakota::SZ_MAX, and Model::truth_model().

Referenced by NonDMultilevControlVarSampling::core_run().

The documentation for this class was generated from the following files:

NonDMultilevControlVarSampling.hpp
NonDMultilevControlVarSampling.cpp

Public Member Functions

Protected Member Functions

Private Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation