thq80/Owen_2000_Safe-and-Effective-IS: 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.

Getting started

Package details

AuthorHera Y. He, Art B. Owen
MaintainerHera Y. He <[email protected]>
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
thq80/Owen_2000_Safe-and-Effective-IS documentation built on May 11, 2018, 12:04 a.m.