Vector-Valued Control Variates

Zhuo Sun, Alessandro Barp, Francois-Xavier Briol
Proceedings of the 40th International Conference on Machine Learning, PMLR 202:32819-32846, 2023.

Abstract

Control variates are variance reduction tools for Monte Carlo estimators. They can provide significant variance reduction, but usually require a large number of samples, which can be prohibitive when sampling or evaluating the integrand is computationally expensive. Furthermore, there are many scenarios where we need to compute multiple related integrals simultaneously or sequentially, which can further exacerbate computational costs. In this paper, we propose vector-valued control variates, an extension of control variates which can be used to reduce the variance of multiple Monte Carlo estimators jointly. This allows for the transfer of information across integration tasks, and hence reduces the need for a large number of samples. We focus on control variates based on kernel interpolants and our novel construction is obtained through a generalised Stein identity and the development of novel matrix-valued Stein reproducing kernels. We demonstrate our methodology on a range of problems including multifidelity modelling, Bayesian inference for dynamical systems, and model evidence computation through thermodynamic integration.

Cite this Paper

BibTeX
@InProceedings{pmlr-v202-sun23a, title = {Vector-Valued Control Variates}, author = {Sun, Zhuo and Barp, Alessandro and Briol, Francois-Xavier}, booktitle = {Proceedings of the 40th International Conference on Machine Learning}, pages = {32819--32846}, year = {2023}, editor = {Krause, Andreas and Brunskill, Emma and Cho, Kyunghyun and Engelhardt, Barbara and Sabato, Sivan and Scarlett, Jonathan}, volume = {202}, series = {Proceedings of Machine Learning Research}, month = {23--29 Jul}, publisher = {PMLR}, pdf = {https://proceedings.mlr.press/v202/sun23a/sun23a.pdf}, url = {https://proceedings.mlr.press/v202/sun23a.html}, abstract = {Control variates are variance reduction tools for Monte Carlo estimators. They can provide significant variance reduction, but usually require a large number of samples, which can be prohibitive when sampling or evaluating the integrand is computationally expensive. Furthermore, there are many scenarios where we need to compute multiple related integrals simultaneously or sequentially, which can further exacerbate computational costs. In this paper, we propose vector-valued control variates, an extension of control variates which can be used to reduce the variance of multiple Monte Carlo estimators jointly. This allows for the transfer of information across integration tasks, and hence reduces the need for a large number of samples. We focus on control variates based on kernel interpolants and our novel construction is obtained through a generalised Stein identity and the development of novel matrix-valued Stein reproducing kernels. We demonstrate our methodology on a range of problems including multifidelity modelling, Bayesian inference for dynamical systems, and model evidence computation through thermodynamic integration.} }
Endnote
%0 Conference Paper %T Vector-Valued Control Variates %A Zhuo Sun %A Alessandro Barp %A Francois-Xavier Briol %B Proceedings of the 40th International Conference on Machine Learning %C Proceedings of Machine Learning Research %D 2023 %E Andreas Krause %E Emma Brunskill %E Kyunghyun Cho %E Barbara Engelhardt %E Sivan Sabato %E Jonathan Scarlett %F pmlr-v202-sun23a %I PMLR %P 32819--32846 %U https://proceedings.mlr.press/v202/sun23a.html %V 202 %X Control variates are variance reduction tools for Monte Carlo estimators. They can provide significant variance reduction, but usually require a large number of samples, which can be prohibitive when sampling or evaluating the integrand is computationally expensive. Furthermore, there are many scenarios where we need to compute multiple related integrals simultaneously or sequentially, which can further exacerbate computational costs. In this paper, we propose vector-valued control variates, an extension of control variates which can be used to reduce the variance of multiple Monte Carlo estimators jointly. This allows for the transfer of information across integration tasks, and hence reduces the need for a large number of samples. We focus on control variates based on kernel interpolants and our novel construction is obtained through a generalised Stein identity and the development of novel matrix-valued Stein reproducing kernels. We demonstrate our methodology on a range of problems including multifidelity modelling, Bayesian inference for dynamical systems, and model evidence computation through thermodynamic integration.
APA
Sun, Z., Barp, A. & Briol, F.. (2023). Vector-Valued Control Variates. Proceedings of the 40th International Conference on Machine Learning, in Proceedings of Machine Learning Research 202:32819-32846 Available from https://proceedings.mlr.press/v202/sun23a.html.

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