Scalable Control Variates for Monte Carlo Methods Via Stochastic Optimization

Shijing Si, Chris J. Oates, Andrew B. Duncan, Lawrence Carin, François-Xavier Briol. Scalable Control Variates for Monte Carlo Methods Via Stochastic Optimization. In Alexander Keller 0001, editor, Monte Carlo and Quasi-Monte Carlo Methods - MCQMC 2020, Oxford, United Kingdom, August 10-14. Volume 387 of Springer Proceedings in Mathematics and Statistics, pages 205-221, Springer, 2020. [doi]

Abstract

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