Scalable Control Variates for Monte Carlo Methods Via Stochastic Optimization
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Publication:6154293
DOI10.1007/978-3-030-98319-2_10arXiv2006.07487OpenAlexW3034678031MaRDI QIDQ6154293FDOQ6154293
Authors: Shijing Si, Chris J. Oates, Andrew B. Duncan, Lawrence Carin, François-Xavier Briol 
Publication date: 14 February 2024
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Abstract: Control variates are a well-established tool to reduce the variance of Monte Carlo estimators. However, for large-scale problems including high-dimensional and large-sample settings, their advantages can be outweighed by a substantial computational cost. This paper considers control variates based on Stein operators, presenting a framework that encompasses and generalizes existing approaches that use polynomials, kernels and neural networks. A learning strategy based on minimising a variational objective through stochastic optimization is proposed, leading to scalable and effective control variates. Novel theoretical results are presented to provide insight into the variance reduction that can be achieved, and an empirical assessment, including applications to Bayesian inference, is provided in support.
Full work available at URL: https://arxiv.org/abs/2006.07487
Monte Carlo methods (65C05) Numerical mathematical programming methods (65K05) Stochastic programming (90C15)
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