Theoretical guarantees for neural control variates in MCMC-Reference-Cited by-同舟云学术

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Theoretical guarantees for neural control variates in MCMC

Published:2024-06 Issue: Volume:220 Page:382-405
ISSN:0378-4754
Container-title:Mathematics and Computers in Simulation
language:en
Short-container-title:Mathematics and Computers in Simulation

Author:

Belomestny Denis,Goldman Artur,Naumov Alexey,Samsonov Sergey^ORCID

Funder

Analytical Center for the Government of the Russian Federation

Australian Cancer Research Foundation

Publisher

Elsevier BV

Reference37 articles.

1. Exponential concentration inequalities for additive functionals of Markov chains;Adamczak;ESAIM Probab. Stat.,2015

2. Zero-variance principle for Monte Carlo Algorithms;Assaraf;Phys. Rev. Lett.,1999

3. Variance reduction for Markov chains with application to MCMC;Belomestny;Stat. Comput.,2020

4. Variance reduction for dependent sequences with applications to stochastic gradient MCMC;Belomestny;SIAM/ASA J. Uncertain. Quantif.,2021

5. Empirical variance minimization with applications in variance reduction and optimal control;Belomestny;Bernoulli,2022

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Diffusion Approximations and Control Variates for MCMC;Computational Mathematics and Mathematical Physics;2024-04

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