Semi-exact control functionals from Sard’s method
[Zero-variance principle for Monte Carlo algorithms]
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- Chris J. Oates & Mark Girolami & Nicolas Chopin, 2017. "Control functionals for Monte Carlo integration," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(3), pages 695-718, June.
- Chris J. Oates & Theodore Papamarkou & Mark Girolami, 2016. "The Controlled Thermodynamic Integral for Bayesian Model Evidence Evaluation," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(514), pages 634-645, April.
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Keywords
Control variate; Stein operator; Variance reduction;All these keywords.
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