Showing 2 of total 2 results (show query)
helske
diagis:Diagnostic Plot and Multivariate Summary Statistics of Weighted Samples from Importance Sampling
Fast functions for effective sample size, weighted multivariate mean, variance, and quantile computation, and weight diagnostic plot for generic importance sampling type or other probability weighted samples.
Maintained by Jouni Helske. Last updated 2 years ago.
cppimportance-samplingweighted-samplesopenblascpp
1 stars 4.32 score 14 scripts 1 dependents
onurboyar
VarRedOpt:A Framework for Variance Reduction
In order to make it easy to use variance reduction algorithms for any simulation, this framework can help you. We propose user friendly and easy to extend framework. Antithetic Variates, Inner Control Variates, Outer Control Variates and Importance Sampling algorithms are available in the framework. User can write its own simulation function and use the Variance Reduction techniques in this package to obtain more efficient simulations. An implementation of Asian Option simulation is already available within the package. See Kemal Dinçer Dingeç & Wolfgang Hörmann (2012) <doi:10.1016/j.ejor.2012.03.046>.
Maintained by Onur Boyar. Last updated 4 years ago.
antithetic-variatesasian-optionimportance-samplingsimulationvariance-reduction
1 stars 2.70 score 2 scripts