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stat.ME2023
Multilevel Control Functional
Kaiyu Li, Yiming Yang, Xiaoyuan Cheng +2
Control variates are variance reduction techniques for Monte Carlo estimators. They play a critical role in improving Monte Carlo estimators in scientific and machine learning appl…
stat.ME2022
Multilevel Bayesian Quadrature
Kaiyu Li, Daniel Giles, Toni Karvonen +2
Multilevel Monte Carlo is a key tool for approximating integrals involving expensive scientific models. The idea is to use approximations of the integrand to construct an estimator…