Introduces a discrepancy-minimizing correlation estimator for robust MFMC under limited pilot sampling, shown to outperform standard sample covariance in Gaussian and NASA EDL examples.
I., M¨ uhlemann, A., and Ziegel, J
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Sample correlation adjustments for robust Multi-fidelity Monte Carlo under limited pilot sampling
Introduces a discrepancy-minimizing correlation estimator for robust MFMC under limited pilot sampling, shown to outperform standard sample covariance in Gaussian and NASA EDL examples.