This code implements the multifidelity approach to estimating variance and sensitivity indices as described in:
- Qian, E., Peherstorfer, B., O'Malley, D., Vesselinov, V., and Willcox, K. Multifidelity Monte Carlo Estimation of Variance and Sensitivity Indices. SIAM/ASA Journal on Uncertainty Quantification, 6(2):683-706, 2018.
The file main.m
computes multifidelity variance and sensitivity index estimates for the Ishigami function example considered in the paper. This code was written in MATLAB R2017b.
- Peherstorfer, B., Willcox, K., and Gunzburger, M. Optimal model management for multifidelity Monte Carlo estimation. SIAM Journal on Scientific Computing, 38(5):A3163-A3194, 2016. (MFMC GitHub)