Poisson equation and weak approximation for Metropolis-Hastings chains
The work presented investigates speeding up MCMC methods by introducing control variates based on approximate solutions of the Poisson equation. In the setting of Metropolis-Hastings chains in Rd two scalable approaches of approximately solving the Poisson equation are discussed. In both cases an un...
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Imperial College London
2017
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.733239 |