Scalable Control Variates for Monte Carlo Methods Via Stochastic Optimization

DOI10.1007/978-3-030-98319-2_10MaRDI QIDQ6154293zbMATH OpenOpenAlexFDO

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)

Full work available at URL https://arxiv.org/abs/2006.07487

zbMATH Keywords

control variatesvariance reductionMonte Carlo methodsStein's method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

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.

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Cited in

(2)

• Diffusion approximations and control variates for MCMC
• Regularized zero-variance control variates

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