Empirical Variance Minimization with Applications in Variance Reduction
and Optimal Control

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Empirical Variance Minimization with Applications in Variance Reduction and Optimal Control

13 December 2017

Denis Belomestny

Nikita Zhivotovskiy

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Papers citing "Empirical Variance Minimization with Applications in Variance Reduction and Optimal Control"

7 / 7 papers shown

Title
Control Variates for MCMC Leah South Matthew Sutton 43 0 0 12 Feb 2024
Theoretical guarantees for neural control variates in MCMC Denis Belomestny Artur Goldman A. Naumov S. Samsonov BDL DRL 48 6 0 03 Apr 2023
A Contrastive Approach to Online Change Point Detection Artur Goldman Nikita Puchkin Valeriia Shcherbakova Uliana Vinogradova 79 7 0 21 Jun 2022
Variance Reduction for Policy-Gradient Methods via Empirical Variance Minimization Maxim Kaledin Alexander Golubev Denis Belomestny OffRL 82 4 0 14 Jun 2022
A Quadrature Rule combining Control Variates and Adaptive Importance Sampling Rémi Leluc Franccois Portier Johan Segers Aigerim Zhuman 56 2 0 24 May 2022
Post-Processing of MCMC Leah F. South M. Riabiz Onur Teymur Chris J. Oates 95 18 0 30 Mar 2021
Variance reduction for Markov chains with application to MCMC Denis Belomestny L. Iosipoi Eric Moulines A. Naumov S. Samsonov BDL 65 30 0 08 Oct 2019