optismixture: 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.

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

All documentation is copyright its authors; we didn't write any of that.