2018/08/05 by Nicolas Brosse, Alain Durmus, Brosse, Nicolas +6
Computer Science · Mathematics · #Bayesian Methods and Mixture Models #FOS: Computer and information sciences #Markov Chains and Monte Carlo Methods #Methodology (stat.ME) #Statistical Methods and Bayesian Inference
paper · pdf · doi:10.48550/arxiv.1808.01665
openalex publication_date 2018/08/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
A new methodology is presented for the construction of control variates to reduce the variance of additive functionals of Markov Chain Monte Carlo (MCMC) samplers. Our control variates are definedthrough the minimization of the asymptotic variance of the Langevin diffusion over a family of functions, which can be seen as a quadratic risk minimization procedure. The use of these control variates is theoretically justified. We show that the asymptotic variances of some well-known MCMC algorithms, including the Random Walk Metropolis and the (Metropolis) Unadjusted/Adjusted Langevin Algorithm, are close to the asymptotic variance of the Langevin diffusion. Several examples of Bayesian inference problems demonstrate that the corresponding reduction in the variance is significant.