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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.
Package details 


Author  Hera Y. He, Art B. Owen 
Date of publication  20150825 19:20:56 
Maintainer  Hera Y. He <yhe1@stanford.edu> 
License  GPL2 
Version  0.1 
Package repository  View on CRAN 
Installation 
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