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 binaries: | r-release: optismixture_0.1.tgz, r-oldrel: optismixture_0.1.tgz |
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