Variance reduction for Markov chains with application to MCMC.

Denis Belomestny Leonid Iosipoi Eric Moulines Alexey Naumov Sergey Samsonov

Published in: CoRR (2019)

Keyphrases

markov chain
monte carlo
variance reduction
importance sampling
finite state
random numbers
monte carlo method
transition probabilities
random walk
markov chain monte carlo
state space
confidence intervals
markov processes
weighted sums
generative model
objective function
probabilistic automata