Package: VarRedOpt 0.1.0

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>.

Authors:Onur Boyar [aut, cre], Wolfgang Hörmann [aut]

VarRedOpt_0.1.0.tar.gz
VarRedOpt_0.1.0.zip(r-4.7-any)VarRedOpt_0.1.0.zip(r-4.6-any)VarRedOpt_0.1.0.zip(r-4.5-any)
VarRedOpt_0.1.0.tgz(r-4.6-any)VarRedOpt_0.1.0.tgz(r-4.5-any)
VarRedOpt_0.1.0.tar.gz(r-4.7-any)VarRedOpt_0.1.0.tar.gz(r-4.6-any)
VarRedOpt_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
VarRedOpt/json (API)

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

Bug tracker:https://github.com/onurboyar/varredopt/issues

On CRAN:

Conda:

antithetic-variatesasian-optionimportance-samplingsimulationvariance-reduction

2.70 score 1 stars 2 scripts 222 downloads 8 exports 0 dependencies

Last updated from:5b4624660a. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK95
source / vignettesOK127
linux-releaseOK100
macos-releaseOK97
macos-oldrelOK106
windows-develOK79
windows-releaseOK62
windows-oldrelOK67
wasm-releaseOK86

Exports:BS_Asian_geommyq_asianmyq_euclideansim.AVsim.GeometricAvgsim.InnerCVsim.ISsim.outer

Dependencies: