Optimal Variance Reduction for Markov Chain Monte Carlo.
Lu-Jing HuangYin-Ting LiaoTing-Li ChenChii-Ruey HwangPublished in: SIAM J. Control. Optim. (2018)
Keyphrases
- markov chain monte carlo
- variance reduction
- importance sampling
- monte carlo
- markov chain
- parameter estimation
- generative model
- posterior distribution
- worst case
- approximate inference
- particle filter
- bayesian inference
- simulated annealing
- kalman filter
- dynamic programming
- posterior probability
- support vector
- upper bound
- data association
- bayesian framework
- optimal solution