Software and data related to the paper "Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates".
The folder "src" contains the proposed adaptive ISCV algortihm for estimating multiple expectations with the same sample.
The folder "numerical_tests" contains the implementation of the test cases from the article as well as the corresponding data. These files illustrate how to use the algorithms.
Feel free to test these algorithms on your own test cases and/or to play with the proposed ones.
In order to install the required modules, please run the following line in a terminal or in the console:
pip install -r requirements.txt