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.

Version: 0.1
Depends: R (≥ 3.0.2)
Imports: mvtnorm, Matrix
Published: 2015-08-25
Author: Hera Y. He, Art B. Owen
Maintainer: Hera Y. He <yhe1 at stanford.edu>
License: GPL-2
NeedsCompilation: no
CRAN checks: optismixture results


Reference manual: optismixture.pdf
Package source: optismixture_0.1.tar.gz
Windows binaries: r-devel: optismixture_0.1.zip, r-release: optismixture_0.1.zip, r-oldrel: optismixture_0.1.zip
OS X El Capitan binaries: r-release: optismixture_0.1.tgz
OS X Mavericks binaries: r-oldrel: optismixture_0.1.tgz


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