相关论文: Joint control variate for faster black-box variati…

Control variates are variance reduction tools for Monte Carlo estimators. They can provide significant variance reduction, but usually require a large number of samples, which can be prohibitive when sampling or evaluating the integrand is…

Variational inference is increasingly being addressed with stochastic optimization. In this setting, the gradient's variance plays a crucial role in the optimization procedure, since high variance gradients lead to poor convergence. A…

In statistics and machine learning, approximation of an intractable integration is often achieved by using the unbiased Monte Carlo estimator, but the variances of the estimation are generally high in many applications. Control variates…

Variational inference has become a widely used method to approximate posteriors in complex latent variables models. However, deriving a variational inference algorithm generally requires significant model-specific analysis, and these…

Black Box Variational Inference is a promising framework in a succession of recent efforts to make Variational Inference more ``black box". However, in basic version it either fails to converge due to instability or requires some…

The control variates method is a classical variance reduction technique for Monte Carlo estimators that exploits correlated auxiliary variables without introducing bias. In many applications, the quantity of interest can be expressed as a…

Monte Carlo integration with variance reduction by means of control variates can be implemented by the ordinary least squares estimator for the intercept in a multiple linear regression model with the integrand as response and the control…

Control variates are a well-established tool to reduce the variance of Monte Carlo estimators. However, for large-scale problems including high-dimensional and large-sample settings, their advantages can be outweighed by a substantial…

A non-parametric extension of control variates is presented. These leverage gradient information on the sampling density to achieve substantial variance reduction. It is not required that the sampling density be normalised. The novel…

We introduce overdispersed black-box variational inference, a method to reduce the variance of the Monte Carlo estimator of the gradient in black-box variational inference. Instead of taking samples from the variational distribution, we use…

In this paper we present a new approach to control variates for improving computational efficiency of Ensemble Monte Carlo. We present the approach using simulation of paths of a time-dependent nonlinear stochastic equation. The core idea…

The development of efficient numerical methods for kinetic equations with stochastic parameters is a challenge due to the high dimensionality of the problem. Recently we introduced a multiscale control variate strategy which is capable to…

We propose neural control variates (NCV) for unbiased variance reduction in parametric Monte Carlo integration. So far, the core challenge of applying the method of control variates has been finding a good approximation of the integrand…

Many machine learning problems involve Monte Carlo gradient estimators. As a prominent example, we focus on Monte Carlo variational inference (MCVI) in this paper. The performance of MCVI crucially depends on the variance of its stochastic…

Monte Carlo estimation in plays a crucial role in stochastic reaction networks. However, reducing the statistical uncertainty of the corresponding estimators requires sampling a large number of trajectories. We propose control variates…

This paper studies the use of a machine learning-based estimator as a control variate for mitigating the variance of Monte Carlo sampling. Specifically, we seek to uncover the key factors that influence the efficiency of control variates in…

Control variates can be a powerful tool to reduce the variance of Monte Carlo estimators, but constructing effective control variates can be challenging when the number of samples is small. In this paper, we show that when a large number of…

When dealing with difficult inverse problems such as inverse rendering, using Monte Carlo estimated gradients to optimise parameters can slow down convergence due to variance. Averaging many gradient samples in each iteration reduces this…

Control variates are variance reduction techniques for Monte Carlo estimators. They play a critical role in improving Monte Carlo estimators in scientific and machine learning applications that involve computationally expensive integrals.…

We describe and analyze a variance reduction approach for Monte Carlo (MC) sampling that accelerates the estimation of statistics of computationally expensive simulation models using an ensemble of models with lower cost. These lower cost…