PartialVarianceEstimator Class Reference

Partial variance estimator. More...

Inheritance diagram for PartialVarianceEstimator:

Collaboration diagram for PartialVarianceEstimator:

Public Member Functions
	PartialVarianceEstimator (MonteCarloModelDoubleRQMC model, double approxMean, List< CoordinateSet > coordSets)
MonteCarloModelDoubleRQMC	getModel ()
void	setModel (MonteCarloModelDoubleRQMC model, double approxMean)
	Sets the model whose partial variances are to be estimated. More...
List< CoordinateSet >	getCoordinateSets ()
	Returns the list of coordinate sets under consideration.
void	setCoordinateSets (List< CoordinateSet > coordSets)
	Set the coordinate sets to consider to coordSets.
double	getApproximateMean ()
void	simulate (RandomStream stream)
	Simulates the estimator once. More...
double []	getPerformance ()
	Recovers and returns the realization of the performance measure, of type E.
int	getDimension ()
	Returns the number of input dimensions.
String	toString ()
	Returns a description of the partial variance estimator.

Protected Attributes
MonteCarloModelDoubleRQMC	model
double	approxMean
List< CoordinateSet >	coordSets
CoordinateSet	noCoordinate
CoordinateSet	allCoordinates
double []	vars

Detailed Description

Partial variance estimator.

Estimates partial variances of a model with respect to multiple coordinate sets.

Reference: Monte Carlo estimators for small sensitivity indices I. M. Sobol' and E. E. Myshetskaya Monte Carlo Methods Appl. Vol. 13 No. 5-6 (2007), pp. 455-465

Member Function Documentation

setModel()

void setModel	(	MonteCarloModelDoubleRQMC	model,
		double	approxMean
	)

Sets the model whose partial variances are to be estimated.

Best precision is achieved when the mean value of the model is close to approxMean.

simulate()

void simulate

(

RandomStream

stream

)

Simulates the estimator once.

Returns vars such that:

• vars.length is coordSets.size() + 2.
• vars[nSets] contains the correction to the approximate mean.
• vars[nSets+1] contains the square of the above correction.

Implements MonteCarloModel< E >.

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

• PartialVarianceEstimator.java