Optimal Thinning of MCMC Output

8 May 2020Marina RiabizWilson ChenJon CockaynePawel SwietachSteven A. NiedererLester MackeyChris. J. Oates

The use of heuristics to assess the convergence and compress the output of Markov chain Monte Carlo can be sub-optimal in terms of the empirical approximations that are produced. Typically a number of the initial states are attributed to "burn in" and removed, whilst the remainder of the chain is "thinned" if compression is also required... (read more)

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