Variance reduction for Metropolis–Hastings samplers

Variance Reduction Using Nonreversible Langevin Samplers

A standard approach to computing expectations with respect to a given target measure is to introduce an overdamped Langevin equation which is reversible with respect to the target distribution, and to approximate the expectation by a time-averaging estimator. As has been noted in recent papers [30, 37, 61, 72], introducing an appropriately chosen nonreversible component to the dynamics is benef...

Approximating Martingales for Variance Reduction

\Knowledge of either analytical or numerical approximations should enable more eecient simulation estima-tors to be constructed." This principle seems intuitively plausible and certainly attractive, yet no completely satisfactory general methodology has been developed to exploit it. We present a new approach for Markov processes that relies on the construction of a martingale that is strongly c...

Variance Reduction for Russian-roulette

Variance Reduction via Lattice

This is a review article on lattice methods for multiple integration over the unit hypercube, with a variance-reduction viewpoint. It also contains some new results and ideas. The aim is to examine the basic principles supporting these methods and how they can be used eeectively for the simulation models that are typically encountered in the area of Management Science. These models can usually ...

Variance Reduction Techniques in . . .