Dakota Reference Manual: estimator_rate

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estimator_rate

Rate of convergence of mean estimator within multilevel polynomial chaos

## Specification

Alias: none

Argument(s): REAL

Default: 2

## Description

Multilevel Monte Carlo performs optimal resource allocation based on a known estimator variance for the mean statistic:

Replacing the simple ensemble average estimator in Monte Carlo with a polynomial chaos estimator results in a different and unknown relationship between the estimator variance and the number of samples. In one approach to multilevel PCE, we can employ a parameterized estimator variance:

for free parameters and .

The default values are and (adopts a more aggressive sample profile by assuming a faster convergence rate than Monte Carlo). This advanced specification option allows to user to specify , overriding the default.