optismixture (version 0.1)
Optimal Mixture Weights in Multiple Importance Sampling
Description
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.