optismixture: Optimal Mixture Weights in Multiple Importance Sampling

Code for optimal mixture weights in importance sampling. Workhorse functions penoptpersp() and penoptpersp.alpha.only() minimize estimated variances with and without control variates respectively. It can be used in adaptive mixture importance sampling, for example, function batch.estimation() does two stages, a pilot estimate of mixing alpha and a following importance sampling.

Install the latest version of this package by entering the following in R:
install.packages("optismixture")
AuthorHera Y. He, Art B. Owen
Date of publication2015-08-25 19:20:56
MaintainerHera Y. He <yhe1@stanford.edu>
LicenseGPL-2
Version0.1

View on CRAN

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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