Variance reduction for Markov chains with application to MCMC

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Variance reduction for Markov chains with application to MCMC

8 October 2019

Denis Belomestny

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Papers citing "Variance reduction for Markov chains with application to MCMC"

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Title
Control Variates for MCMC Leah South Matthew Sutton 48 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
Meta-learning Control Variates: Variance Reduction with Limited Data Z. Sun Chris J. Oates F. Briol BDL 94 9 0 08 Mar 2023
Optimal friction matrix for underdamped Langevin sampling Martin Chak N. Kantas T. Lelièvre G. Pavliotis 54 10 0 30 Nov 2021
Stein's Method Meets Computational Statistics: A Review of Some Recent Developments Andreas Anastasiou Alessandro Barp F. Briol B. Ebner Robert E. Gaunt ... Qiang Liu Lester W. Mackey Chris J. Oates Gesine Reinert Yvik Swan 101 35 0 07 May 2021
Post-Processing of MCMC Leah F. South M. Riabiz Onur Teymur Chris J. Oates 95 18 0 30 Mar 2021
Variance reduction for dependent sequences with applications to Stochastic Gradient MCMC Denis Belomestny L. Iosipoi Eric Moulines A. Naumov S. Samsonov 72 6 0 16 Aug 2020
Scalable Control Variates for Monte Carlo Methods via Stochastic Optimization Shijing Si Chris J. Oates Andrew B. Duncan Lawrence Carin F. Briol BDL 56 21 0 12 Jun 2020
Semi-Exact Control Functionals From Sard's Method Leah F. South Toni Karvonen Christopher Nemeth Mark Girolami Chris J. Oates 93 17 0 31 Jan 2020
Control variate selection for Monte Carlo integration Rémi Leluc François Portier Johan Segers 72 15 0 26 Jun 2019
A Riemann-Stein Kernel Method Alessandro Barp Christine J. Oates Emilio Porcu Mark Girolami 86 22 0 11 Oct 2018