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math.PR2024
Ballistic Convergence in Hit-and-Run Monte Carlo and a Coordinate-free Randomized Kaczmarz Algorithm
Nawaf Bou-Rabee, Andreas Eberle, Stefan Oberdörster
Hit-and-Run is a coordinate-free Gibbs sampler, yet the quantitative advantages of its coordinate-free property remain largely unexplored beyond empirical studies. In this paper, w…
math.PR2024
Sticky coupling as a control variate for sensitivity analysis
Shiva Darshan, Andreas Eberle, Gabriel Stoltz
We present and analyze a control variate strategy based on couplings to reduce the variance of finite difference estimators of sensitivity coefficients, called transport coefficien…