1 code implementation • 8 Oct 2019 • D. Belomestny, L. Iosipoi, E. Moulines, A. Naumov, S. Samsonov
In this paper we propose a novel variance reduction approach for additive functionals of Markov chains based on minimization of an estimate for the asymptotic variance of these functionals over suitable classes of control variates.
no code implementations • 13 Dec 2017 • D. Belomestny, L. Iosipoi, Q. Paris, N. Zhivotovskiy
We study the problem of empirical minimization for variance-type functionals over functional classes.
