Description
Chair Petros Dellaportas
Petros Dellaportas
(AUEB and UCL)
30/06/23, 11:00
Assume that we would like to estimate the expected value of a function f with respect to a density π by using an importance density function q. We prove that if π and q are close enough under KL divergence, an independent Metropolis sampler estimator that obtains samplers from π with proposal density q, enriched with a variance reduction computational strategy based on control variates,...
