Calculation Var-of-Conditional-Expectation using dynamic n*

Variance of Conditional Expectation relies on outer-loops K and inner-loop size n*. Our code uses a per-stage estimated-and-refined n*
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Code works for Var-of-CE estimation Examples 1, 2, and 3 of T. Goda, 45(1):63-67, ORL, 2017. n* is estimated and refined over M stages, into which the sampling budget C is divided. Existing literature uses an n* estimate from just 1st stage (Sun, Apley, Staum, 59(4):998-1007, OR, 2011) - we permit a Var-of-CE estimation to use an n* which is being refined over multiple stages. A 15%-lower closed-form variance in the Var-of-CE estimate is seen for Goda Example 3. Code calls a script ANOVA_Multiple_n_ks_Var_Of_CE_Estimator.m (separately uploaded).

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Calculation of Var-of-Conditional-Expectation using dynamic inner-loop size n*, Code made available as supplement for publication review process

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Versione Pubblicato Note della release
1.1

Bug correction. Sum-of-squares term required to calculate E_tau_4 had been deleted during clean-up, now restored.

1.0.0