Theoretical guarantees for neural control variates in MCMC

DOI10.1016/J.MATCOM.2024.01.019arXiv2304.01111WikidataQ128571208 ScholiaQ128571208MaRDI QIDQ6129489FDOQ6129489

Authors: D. Belomestny, A. Goldman, Alexey Naumov, S. P. Samsonov

Publication date: 17 April 2024

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Abstract: In this paper, we propose a variance reduction approach for Markov chains based on additive control variates and the minimization of an appropriate estimate for the asymptotic variance. We focus on the particular case when control variates are represented as deep neural networks. We derive the optimal convergence rate of the asymptotic variance under various ergodicity assumptions on the underlying Markov chain. The proposed approach relies upon recent results on the stochastic errors of variance reduction algorithms and function approximation theory.

Full work available at URL: https://arxiv.org/abs/2304.01111

zbMATH Keywords

MCMC control variates Stein operator deep neural networks variance reductions

Mathematics Subject Classification ID

Statistics (62-XX) Systems theory; control (93-XX)

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