Coupling Control Variates for Markov Chain Monte Carlo

Details Coupling Control Variates for Markov Chain Monte Carlo Coupling Control Variates for Markov Chain Monte Carlo

2008-09-12

arxiv.org/abs/0809.2300v1

Mathematics

Numerical Analysis

Scientific paper

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.

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