Analytically Optimal Sample Allocations for Nested Multivariate Multifidelity Control Variate Estimators
Abstract
Monte Carlo estimation, an essential tool for quantifying uncertainty in complex scientific and engineering applications, often has unacceptably large errors when computing resources are limited and each sample requires evaluating an expensive high-fidelity model. Multifidelity control variate methods seek to increase the accuracy of Monte Carlo estimation by combining a limited number of expensive high-fidelity samples with a larger number of cheaper lower-fidelity samples. Many different multifidelity estimators have been proposed, including multilevel Monte Carlo (MLMC), multifidelity Monte Carlo (MFMC), approximate control variates (ACVs), and multilevel best linear unbiased estimators (MLBLUEs). An important design choice in multifidelity estimation is the allocation of a limited computational budget among the available models to minimize estimator error. The state of the art in solving this budget allocation problem relies on numerical optimization; to date, closed form solutions have only been derived for estimator forms known to be suboptimal. In this work, we provide closed form expressions for optimal fractional sample allocations for a large class of nested multifidelity control variate estimators, in which higher-fidelity models are evaluated on a subset of the inputs that lower-fidelity models are evaluated on. Our analysis is based on reformulating nested MLBLUEs as an extended version of the MFMC estimator, and is applicable to general multivariate Monte Carlo estimation. We additionally propose a new approach for integer-valued budget allocation based on a greedy strategy used in combinatorial optimization, as well as a method for robust approximation of control variate coefficients from limited pilot samples. Two numerical examples illustrate our theoretical results and demonstrate the increased accuracy of our extended MFMC formulation relative to existing estimators.
Related
- Optimal support and condensation in random allocations
- A Mathai-type Multivariate Nakagami-m Distribution: Density, Closed-form Estimators, and Asymptotic Efficiency
- Pitman closest equivariant estimators under multivariate scale and location--scale models
- Error Bounds for Statistical Estimators in BTL Model with Parametric Multivariate Utility Functions
- Eigenvector distributions and optimal shrinkage estimators for large covariance and precision matrices
BibTeX
@misc{rex2026analytically,
title = {{Analytically Optimal Sample Allocations for Nested Multivariate Multifidelity Control Variate Estimators}},
author = {Atticus Rex and Elizabeth Qian},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2610.19371},
eprint = {2610.19371},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2610.19371},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - Analytically Optimal Sample Allocations for Nested Multivariate Multifidelity Control Variate Estimators
AU - Atticus Rex
AU - Elizabeth Qian
PY - 2026
DA - 2026/10/23
PB - arXiv
DO - 10.48550/arxiv.2610.19371
UR - https://arxiv.org/abs/2610.19371
AB - Monte Carlo estimation, an essential tool for quantifying uncertainty in complex scientific and engineering applications, often has unacceptably large errors when computing resources are limited and each sample requires evaluating an expensive high-fidelity model. Multifidelity control variate methods seek to increase the accuracy of Monte Carlo estimation by combining a limited number of expensive high-fidelity samples with a larger number of cheaper lower-fidelity samples. Many different multifidelity estimators have been proposed, including multilevel Monte Carlo (MLMC), multifidelity Monte Carlo (MFMC), approximate control variates (ACVs), and multilevel best linear unbiased estimators (MLBLUEs). An important design choice in multifidelity estimation is the allocation of a limited computational budget among the available models to minimize estimator error. The state of the art in solving this budget allocation problem relies on numerical optimization; to date, closed form solutions have only been derived for estimator forms known to be suboptimal. In this work, we provide closed form expressions for optimal fractional sample allocations for a large class of nested multifidelity control variate estimators, in which higher-fidelity models are evaluated on a subset of the inputs that lower-fidelity models are evaluated on. Our analysis is based on reformulating nested MLBLUEs as an extended version of the MFMC estimator, and is applicable to general multivariate Monte Carlo estimation. We additionally propose a new approach for integer-valued budget allocation based on a greedy strategy used in combinatorial optimization, as well as a method for robust approximation of control variate coefficients from limited pilot samples. Two numerical examples illustrate our theoretical results and demonstrate the increased accuracy of our extended MFMC formulation relative to existing estimators.
ER -