Advanced Variance Reduction Techniques for MCMC - Denis Belomestny
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The book is devoted to contemporary variance reduction methods for Monte Carlo and Markov Chain (MCMC) with Machine Learning and Finance applications. We present new approaches based on martingale representations, and Stein control variates besides the standard techniques. In addition, the book focuses on developing new variance reduction algorithms in MCMC and their theoretical analysis. Readers will find ... Full description
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Description
The book is devoted to contemporary variance reduction methods for Monte Carlo and Markov Chain (MCMC) with Machine Learning and Finance applications. We present new approaches based on martingale representations, and Stein control variates besides the standard techniques. In addition, the book focuses on developing new variance reduction algorithms in MCMC and their theoretical analysis. Readers will find numerical examples that illustrate all proposed algorithms.
More Information
| Author | Denis Belomestny |
|---|---|
| Publisher | World Scientific Publishing Company |
| Release year | 2027 |
| Cover type | Hardcover |
| EAN | 9789811287770 |