Package: ZVCV 2.1.2

Leah F. South

ZVCV: Zero-Variance Control Variates

Stein control variates can be used to improve Monte Carlo estimates of expectations when the derivatives of the log target are available. This package implements a variety of such methods, including zero-variance control variates (ZV-CV, Mira et al. (2013) <doi:10.1007/s11222-012-9344-6>), regularised ZV-CV (South et al., 2018 <arxiv:1811.05073>), control functionals (CF, Oates et al. (2017) <doi:10.1111/rssb.12185>) and semi-exact control functionals (SECF, South et al., 2020 <arxiv:2002.00033>). ZV-CV is a parametric approach that is exact for (low order) polynomial integrands with Gaussian targets. CF is a non-parametric alternative that offers better than the standard Monte Carlo convergence rates. SECF has both a parametric and a non-parametric component and it offers the advantages of both for an additional computational cost. Functions for applying ZV-CV and CF to two estimators for the normalising constant of the posterior distribution in Bayesian statistics are also supplied in this package. The basic requirements for using the package are a set of samples, derivatives and function evaluations.

Authors:Leah F. South [aut, cre]

ZVCV_2.1.2.tar.gz
ZVCV_2.1.2.tar.gz(r-4.5-noble)ZVCV_2.1.2.tar.gz(r-4.4-noble)
ZVCV_2.1.2.tgz(r-4.4-emscripten)ZVCV_2.1.2.tgz(r-4.3-emscripten)
ZVCV.pdf |ZVCV.html
ZVCV/json (API)
NEWS

# Install 'ZVCV' in R:
install.packages('ZVCV', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/leahprice/zvcv/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:
  • VDP - Example of estimation using SMC

openblascpp

1.00 score 5 scripts 172 downloads 19 exports 33 dependencies

Last updated 2 years agofrom:58476ca4db. Checks:OK: 2. Indexed: no.

TargetResultDate
Doc / VignettesOKDec 02 2024
R-4.5-linux-x86_64OKDec 02 2024

Exports:aSECFaSECF_crossvalCFCF_crossvalevidence_CTIevidence_CTI_CFevidence_SMCevidence_SMC_CFExpand_TemperaturesgetXK0_fnlogsumexpmedianTunenearPDPhi_fnSECFSECF_crossvalsquareNormzvcv

Dependencies:abindBHclicodetoolsdplyrfansiforeachgenericsglmnetglueiteratorslatticelifecyclemagrittrMatrixmvtnormpillarpkgconfigR6rbibutilsRcppRcppArmadilloRcppEigenRdpackrlangRlinsolveshapesurvivaltibbletidyselectutf8vctrswithr