variance reduction

The controlled thermodynamic integral for Bayesian model evidence evaluation

Approximation of the model evidence is well known to be challenging. One promising approach is based on thermodynamic integration, but a key concern is that the thermodynamic integral can suffer from high variability in many applications. This …

Zero variance differential geometric Markov chain Monte Carlo algorithms

Differential geometric Markov Chain Monte Carlo (MCMC) strategies exploit the geometry of the target to achieve convergence in fewer MCMC iterations at the cost of increased computing time for each of the iterations. Such computational complexity is …