Optimal Mixture Weights in Multiple 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 a two-stage estimation, a pilot estimate of mixing α and a following importance sampling estimation.

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker. Vote for new features on Trello.

comments powered by Disqus