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01/10/2023
Optimal randomized multilevel Monte Carlo for repeatedly nested expectations
The estimation of repeatedly nested expectations is a challenging task t...
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08/24/2022
Spectral Telescope: Convergence Rate Bounds for Random-Scan Gibbs Samplers Based on a Hierarchical Structure
Random-scan Gibbs samplers possess a natural hierarchical structure. The...
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05/09/2022
Repeated Averages on Graphs
Sourav Chatterjee, Persi Diaconis, Allan Sly and Lingfu Zhang, prompted ...
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04/11/2022
Unbiased Multilevel Monte Carlo methods for intractable distributions: MLMC meets MCMC
Constructing unbiased estimators from Markov chain Monte Carlo (MCMC) ou...
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06/04/2021
Unbiased Optimal Stopping via the MUSE
We propose a new unbiased estimator for estimating the utility of the op...
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02/09/2021
On the Minimax Spherical Designs
Distributing points on a (possibly high-dimensional) sphere with minimal...
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01/31/2021
Transition kernel couplings of the Metropolis-Hastings algorithm
Couplings play a central role in the analysis of Markov chain convergenc...
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10/16/2020
Maximal couplings of the Metropolis-Hastings algorithm
Couplings play a central role in the analysis of Markov chain Monte Carl...
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08/06/2020
Exact Convergence Rate Analysis of the Independent Metropolis-Hastings Algorithms
A well-known difficult problem regarding Metropolis-Hastings algorithms ...
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05/19/2020
On the Theoretical Properties of the Exchange Algorithm
Exchange algorithm is one of the most popular extensions of Metropolis-H...
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05/26/2019
Modeling treatment events in disease progression
Ability to quantify and predict progression of a disease is fundamental ...
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04/08/2019
A Fast MCMC for the Uniform Sampling of Binary Matrices with Fixed Margins
Uniform sampling of binary matrix with fixed margins is an important and...
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04/08/2019
A Fast Scheme for the Uniform Sampling of Binary Matrices with Fixed Margins
Uniform sampling of binary matrix with fixed margins is an important and...
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07/31/2018
Expectation of the Largest Betting Size in Labouchère System
For Labouchère system with winning probability p at each coup, we prove ...
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03/29/2018