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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 <doi:10.48550/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 <doi:10.48550/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.

Version: 2.1.2
Imports: Rcpp (≥ 0.11.0), glmnet, abind, mvtnorm, stats, Rlinsolve, magrittr, dplyr
LinkingTo: Rcpp, RcppArmadillo, BH
Suggests: partitions, ggplot2, ggthemes
Published: 2022-11-02
DOI: 10.32614/CRAN.package.ZVCV
Author: Leah F. South ORCID iD [aut, cre]
Maintainer: Leah F. South <leah.south at hdr.qut.edu.au>
BugReports: https://github.com/LeahPrice/ZVCV/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: NEWS
CRAN checks: ZVCV results

Documentation:

Reference manual: ZVCV.pdf

Downloads:

Package source: ZVCV_2.1.2.tar.gz
Windows binaries: r-devel: ZVCV_2.1.2.zip, r-release: ZVCV_2.1.2.zip, r-oldrel: ZVCV_2.1.2.zip
macOS binaries: r-release (arm64): ZVCV_2.1.2.tgz, r-oldrel (arm64): ZVCV_2.1.2.tgz, r-release (x86_64): ZVCV_2.1.2.tgz, r-oldrel (x86_64): ZVCV_2.1.2.tgz
Old sources: ZVCV archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=ZVCV to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.