Advanced Variance Reduction Techniques for MCMC

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Advanced Variance Reduction Techniques for MCMC is written by Denis Belomestny and published by . It's available with International Standard Book Number or ISBN identification 9811287775 (ISBN 10) and 9789811287770 (ISBN 13).

The book is devoted to contemporary variance reduction methods for Monte Carlo and Markov Chain (MCMC) with Machine Learning and Finance applications. We present new approaches based on martingale representations, and Stein control variates besides the standard techniques. In addition, the book focuses on developing new variance reduction algorithms in MCMC and their theoretical analysis. Readers will find numerical examples that illustrate all proposed algorithms.