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SUMMARY:Control variates for reversible MCMC samplers - Petros Dellaportas
  (Athens University)
DTSTART:20101022T150000Z
DTEND:20101022T160000Z
UID:TALK25759@talks.cam.ac.uk
CONTACT:Richard Nickl
DESCRIPTION:A general methodology is presented for the construction and ef
 fective use of\ncontrol variates for reversible MCMC samplers. The values 
 of the\ncoefficients of the optimal linear combination of the control vari
 ates are\ncomputed\, and adaptive\, consistent MCMC estimators are derived
  for these\noptimal coefficients. All methodological and asymptotic argume
 nts are\nrigorously justified. Numerous MCMC simulation examples from Baye
 sian\ninference applications demonstrate that the resulting variance reduc
 tion can\nbe quite dramatic.\n\n\n\n\n
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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