Variance reduction for Markov chains with application to MCMC
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Publication:2195839
Abstract: In this paper we propose a novel variance reduction approach for additive functionals of Markov chains based on minimization of an estimate for the asymptotic variance of these functionals over suitable classes of control variates. A distinctive feature of the proposed approach is its ability to significantly reduce the overall finite sample variance. This feature is theoretically demonstrated by means of a deep non asymptotic analysis of a variance reduced functional as well as by a thorough simulation study. In particular we apply our method to various MCMC Bayesian estimation problems where it favourably compares to the existing variance reduction approaches.
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Cited in
(23)- scientific article; zbMATH DE number 5230455 (Why is no real title available?)
- Optimal variance reduction for Markov chain Monte Carlo
- Optimal friction matrix for underdamped Langevin sampling
- Diffusion approximations and control variates for MCMC
- Markov Bridges, Bisection and Variance Reduction
- Variance reduction for Markov chain processes using state space evaluation for control variates
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- Control variate selection for Monte Carlo integration
- A Riemann-Stein kernel method
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