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importance_sampling_estimate

oxiphysics_core::sampling::functions

Function importance_sampling_estimate 

Source 
pub fn importance_sampling_estimate(
    samples: &[f64],
    h: impl Fn(f64) -> f64,
    target: impl Fn(f64) -> f64,
    proposal: impl Fn(f64) -> f64,
) -> (f64, f64)
Expand description

Compute IS estimate of E\[h(X)\] where X ~ target but samples are drawn from proposal.

Returns (estimate, effective_sample_size).

weights\[i\] = target(x_i) / proposal(x_i).