Control variates for reversible MCMC samplers

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• Petros Dellaportas (Athens University)
• Friday 22 October 2010, 16:00-17:00
• MR12, CMS, Wilberforce Road, Cambridge, CB3 0WB.

If you have a question about this talk, please contact Richard Nickl.

A general methodology is presented for the construction and effective use of control variates for reversible MCMC samplers. The values of the coefficients of the optimal linear combination of the control variates are computed, and adaptive, consistent MCMC estimators are derived for these optimal coefficients. All methodological and asymptotic arguments are rigorously justified. Numerous MCMC simulation examples from Bayesian inference applications demonstrate that the resulting variance reduction can be quite dramatic.

This talk is part of the Statistics series.

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