Figure of Merit implementation (#3363)

Co-authored-by: Paul Romano <paul.k.romano@gmail.com>
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Gregoire Biot 2025-05-03 08:19:10 -04:00 committed by GitHub
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@ -387,6 +387,33 @@ of this is that the longer you run a simulation, the better you know your
results. Therefore, by running a simulation long enough, it is possible to
reduce the stochastic uncertainty to arbitrarily low levels.
Figure of Merit
+++++++++++++++
The figure of merit (FOM) is an indicator that accounts for both the statistical
uncertainty and the execution time and represents how much information is
obtained per unit time in the simulation. The FOM is defined as
.. math::
:label: figure_of_merit
FOM = \frac{1}{r^2 t},
where :math:`t` is the total execution time and :math:`r` is the relative error
defined as
.. math::
:label: relative_error
r = \frac{s_\bar{X}}{\bar{x}}.
Based on this definition, one can see that a higher FOM is desirable. The FOM is
useful as a comparative tool. For example, if a variance reduction technique is
being applied to a simulation, the FOM with variance reduction can be compared
to the FOM without variance reduction to ascertain whether the reduction in
variance outweighs the potential increase in execution time (e.g., due to
particle splitting).
Confidence Intervals
++++++++++++++++++++