Fast Compression of MCMC Output
We propose cube thinning, a novel method for compressing the output of an MCMC (Markov chain Monte Carlo) algorithm when control variates are available. It allows resampling of the initial MCMC sample (according to weights derived from control variates), while imposing equality constraints on the av...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-08-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/23/8/1017 |