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ZVCV (version 2.1.2)

Zero-Variance Control Variates

Description

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) ), regularised ZV-CV (South et al., 2018 ), control functionals (CF, Oates et al. (2017) ) and semi-exact control functionals (SECF, South et al., 2020 ). 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.

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Version

Install

install.packages('ZVCV')

Monthly Downloads

154

Version

2.1.2

License

GPL (>= 2)

Maintainer

Leah F. South

Last Published

November 2nd, 2022

Functions in ZVCV (2.1.2)

Expand_Temperatures

Adjusting the temperature schedule
SECF_crossval

Semi-exact control functionals (SECF) with cross-validation
Phi_fn

Phi matrix calculation
CF

Control functionals (CF)
aSECF

Approximate semi-exact control functionals (aSECF)
K0_fn

Kernel matrix calculation
CF_crossval

Control functionals (CF) with cross-validation
VDP

Example of estimation using SMC
SECF

Semi-exact control functionals (SECF)
ZVCV_package

Zero-Variance Control Variates
getX

ZV-CV design matrix
nearPD

Nearest symmetric positive definite matrix
logsumexp

Stable log sum of exponential calculations
zvcv

ZV-CV for general expectations
aSECF_crossval

Approximate semi-exact control functionals (aSECF) with cross-validation
squareNorm

Squared norm matrix calculation
medianTune

Median heuristic
evidence

Evidence estimation with ZV-CV