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.

Author
Hera Y. He, Art B. Owen
Date of publication
2015-08-25 19:20:56
Maintainer
Hera Y. He <yhe1@stanford.edu>
License
GPL-2
Version
0.1

View on CRAN

Man pages

alpha2N
Internal function. convert mixture proportions to mixture...
batch.estimation
Two stage estimation, a pilot estimate of mixing alpha and a...
compatible.test
Test the compatibility of user defined functions _fname,...
do.mixture.sample
Internal function. sample from the mixture distribution...
do.plain.mc
Do plain monte carlo with target density
get.index.b
Internal function. Get the row index in the stacked sample...
get.initial.alpha
Internal function. Calculate the initial alpha vector for the...
get.var
Internal function. With stratified samples, calculate the...
mixture.is.estimation
For a given mixture weight alpha, use importance sample with...
optismixture
Optimal Mixture Weights in Multiple Importance Sampling
penoptpersp
penalized optimization of the constrained linearized...
penoptpersp.alpha.only
penalized optimization of the constrained linearized...

Files in this package

optismixture
optismixture/NAMESPACE
optismixture/R
optismixture/R/opt.R
optismixture/R/opt_alpha_only.R
optismixture/R/scel.R
optismixture/R/batch_opt.R
optismixture/R/optismixture.R
optismixture/MD5
optismixture/DESCRIPTION
optismixture/man
optismixture/man/get.index.b.Rd
optismixture/man/alpha2N.Rd
optismixture/man/compatible.test.Rd
optismixture/man/do.plain.mc.Rd
optismixture/man/batch.estimation.Rd
optismixture/man/mixture.is.estimation.Rd
optismixture/man/do.mixture.sample.Rd
optismixture/man/get.var.Rd
optismixture/man/get.initial.alpha.Rd
optismixture/man/penoptpersp.Rd
optismixture/man/optismixture.Rd
optismixture/man/penoptpersp.alpha.only.Rd