Stratification as a General Variance Reduction Method for Markov Chain Monte Carlo

DOI10.1137/18M122964XMaRDI QIDQ5119642

Aaron R. Dinner, Erik H. Thiede, Brian van Koten, Jonathan Weare

Publication date: 31 August 2020

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.08445

zbMATH Keywords

Markov chain Monte Carlovariance reductionstratified sampling

Mathematics Subject Classification ID

Related Items (5)

Ensemble Markov Chain Monte Carlo with Teleporting Walkers ⋮ Aggregation Methods for Computing Steady States in Statistical Physics ⋮ Predicting rare events using neural networks and short-trajectory data ⋮ An Escape Time Formulation for Subgraph Detection and Partitioning of Directed Graphs ⋮ A Metric on Directed Graphs and Markov Chains Based on Hitting Probabilities

Uses Software

• tsbridge
• emcee

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