Variance reduction for Markov chains with application to MCMC
Denis Belomestny, Leonid Iosipoi, Éric Moulines, Alexey Naumov, Sergey Samsonov
Topics & Concepts
Variance reductionMarkov chain Monte CarloVariance (accounting)Markov chainFeature (linguistics)Reduction (mathematics)Control variatesBayesian probabilityComputer scienceDelta methodMathematicsAlgorithmStatisticsApplied mathematicsMathematical optimizationMonte Carlo methodEstimatorHybrid Monte CarloPhilosophyGeometryAccountingLinguisticsBusinessMarkov Chains and Monte Carlo MethodsBayesian Methods and Mixture ModelsStatistical Methods and Inference