R package for derivative-based variance reduction
To download this package, use the following R code:
library(devtools)
install_github("LeahPrice/ZVCV")
library(ZVCV)
?ZVCV # use this to navigate through the documentation. ?zvcv has some example code
Details of the methods in this package can be found at:
- Mira, A., Solgi, R., & Imparato, D. (2013). Zero variance Markov chain Monte Carlo for Bayesian estimators. Statistics and Computing, 23(5), 653-662.
- Oates, C. J., Girolami, M. & Chopin, N. (2017). Control functionals for Monte Carlo integration. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 79(3), 695-718.
- South, L. F., Karvonen, T., Nemeth, C., Girolami, M. and Oates, C. J. (2020). Semi-Exact Control Functionals From Sard's Method. https://arxiv.org/abs/2002.00033
- South, L. F., Oates, C. J., Mira, A., & Drovandi, C. (2018). Regularised zero variance control variates. https://arxiv.org/abs/1811.05073