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ControlVariate

scirs2_core::random::variance_reduction

Struct ControlVariate 

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pub struct ControlVariate { /* private fields */ }
Expand description

Control variate method for variance reduction

Control variates use a correlated random variable with known expectation to reduce the variance of the estimator.

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impl ControlVariate

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pub fn new(control_mean: f64) -> Self

Create a new control variate method

§Parameters
  • control_mean - The known expectation of the control variate
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pub fn mean(mean: f64) -> Self

Convenience constructor for control variate with given mean

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pub fn estimate_coefficient( &mut self, target_samples: &[f64], control_samples: &[f64], )

Estimate the optimal control coefficient

Uses the sample covariance and variance to estimate the optimal coefficient that minimizes the variance of the control variate estimator.

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pub fn apply_correction( &self, target_samples: &[f64], control_samples: &[f64], ) -> Vec<f64>

Apply control variate correction

Applies the control variate correction using the formula: Y_corrected = Y - c * (X - μ_X) where c is the optimal coefficient, X is the control variate, and μ_X is its mean.

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pub fn coefficient(&self) -> Option<f64>

Get the current optimal coefficient

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pub fn control_mean(&self) -> f64

Get the control mean

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impl Debug for ControlVariate

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

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