
22
Monte Carlo Methods and Zero Variance
Principle
Theodore Papamarkou
University of Warwick
Antonietta Mira
Swiss Finance Institute
Mark Girolami
University of Warwick
CONTENTS
22.1 Intro ductio n . . . . . . . . .. . . . . . .. .. . . . . . .. . . .. . . . .. . . .. . . . .. .. . . . .. .. . 458
22.2 Brief Overview of Variance Reduction in MCMC .. . . . . . . . .. . . .. 459
22.3 Zero Variance Methodology . .. . . . . . .. . . .. . . . .. . . .. . .. .. .. . . . .. . . . 460
22.3.1 Choice of Hamiltonian operato r . . . .. .. .. . . . .. . . .. . . . . . .. 461
22.3.2 Polynomial trial functions . .. . . .. . .. .. . . . . . .. . . .. . . . .. .. . 461
22.3.3 ...