Coupling control variates for Markov chain Monte Carlo

被引：9
|
作者：
Goodman, Jonathan B. [1 ]
Lin, Kevin K. [2 ]
机构：
[1] NYU, Courant Inst Math Sci, New York, NY 10012 USA
[2] Univ Arizona, Dept Math, Tucson, AZ 85721 USA
来源：
JOURNAL OF COMPUTATIONAL PHYSICS | 2009年 / 228卷 / 19期
关键词：
Monte Carlo; Control variates; Variance reduction; Coupling; Markov chain Monte Carlo; Nonequilibrium statistical mechanics;
D O I：
10.1016/j.jcp.2009.03.043
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
We show that Markov couplings can be used to improve the accuracy of Markov chain Monte Carlo calculations in some situations where the steady-state probability distribution is not explicitly known. The technique generalizes the notion of control variates from classical Monte Carlo integration. We illustrate it using two models of nonequilibrium transport. (C) 2009 Elsevier Inc. All rights reserved
引用
收藏
页码：7127 / 7136
页数：10
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