Control variates for estimation based on reversible Markov chain Monte Carlo samplers

By Petros Dellaportas, Ioannis Kontoyiannis. 2012

61 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Statistics and Probability

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Citations in the corpus

Control functionals for Monte Carlo integration (2014, background): “For continuous state spaces, statistics relating to the chain can be used as control variates (Hammer and Tjelmeland, 2008; Dellaportas and Kontoyiannis, 2012; Li et al., 2016).”
The Controlled Thermodynamic Integral for Bayesian Model Comparison (2014, background): “Further discussion of “plug-in” estimators for control coefficients can be found in Dellaportas and Kontoyiannis (2012).”
Exploiting Multi-Core Architectures for Reduced-Variance Estimation with Intractable Likelihoods (2014, unknown): “Further work to construct control variates for Markov chains includes Hammer and Tjelmeland (2008) for Metropolis–Hastings samplers and Dellaportas and Kontoyiannis (2012) for Gibbs samplers.”
Convergence rates for a class of estimators based on Stein’s method (2016, background): “In this direction, the problem of constructing control variates for discrete state spaces was essentially solved by [1] and for continuous state spaces, recent contributions include [14,20,22, 29,30].”
Zero variance Markov chain Monte Carlo for Bayesian estimators (2010, background): “Up to our knowledge, the only other research line that uses control variates in MCMC estimation follows the PhD thesis by [24] and has its most recent developement in [14].”
The Controlled Thermodynamic Integral for Bayesian Model Evidence Evaluation (2016, methodology): “Further discussion of “plug-in” estimators for control coefficients can be found in Dellaportas and Kontoyiannis (2012).”
Zero Variance Differential Geometric Markov Chain Monte Carlo Algorithms (2014, background): “The most recent development of Henderson’s control variates can be found in Dellaportas and Kontoyiannis (2012), in the context of reversible MCMC samplers.”