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Variance Reduction for Dependent Sequences with Applications to Stochastic Gradient MCMC.
Denis Belomestny
Leonid Iosipoi
Eric Moulines
Alexey Naumov
Sergey Samsonov
Published in:
SIAM/ASA J. Uncertain. Quantification (2021)
Keyphrases
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stochastic gradient
variance reduction
monte carlo
importance sampling
stochastic gradient descent
markov chain monte carlo
markov chain
sample size
nearest neighbor classifier
step size
kalman filter
confidence intervals
feature selection
particle filter