Control Functionals for Monte Carlo Integration
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Publication:5743239
DOI10.1111/RSSB.12185zbMATH Open1411.62088arXiv1410.2392OpenAlexW1632550705MaRDI QIDQ5743239FDOQ5743239
Authors: Chris J. Oates, Nicolas Chopin, M. Girolami 
Publication date: 9 May 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Abstract: A non-parametric extension of control variates is presented. These leverage gradient information on the sampling density to achieve substantial variance reduction. It is not required that the sampling density be normalised. The novel contribution of this work is based on two important insights; (i) a trade-off between random sampling and deterministic approximation and (ii) a new gradient-based function space derived from Stein's identity. Unlike classical control variates, our estimators achieve super-root- convergence, often requiring orders of magnitude fewer simulations to achieve a fixed level of precision. Theoretical and empirical results are presented, the latter focusing on integration problems arising in hierarchical models and models based on non-linear ordinary differential equations.
Full work available at URL: https://arxiv.org/abs/1410.2392
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