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Focusing on contemporary variance reduction methods, this book explores innovative approaches for Monte Carlo and Markov Chain Monte Carlo (MCMC) applications in machine learning and finance. It introduces new techniques such as martingale representations and Stein control variates alongside traditional methods. The text emphasizes the development and theoretical analysis of new variance reduction algorithms in MCMC, complemented by numerical examples that demonstrate the effectiveness of the proposed strategies.
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Advanced Variance Reduction Techniques for MCMC, Denis Belomestny
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- 2025
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