4 papers
On the complexity of standard and waste-free SMC samplers
Yvann Le Fay, Nicolas Chopin, Matti Vihola
We establish finite sample bounds for the error of standard and waste-free SMC samplers. Our results cover estimates of both expectations and normalising constants of the target di…
Convergence of a class of gradient-free optimisation schemes when the objective function is noisy, irregular, or both
Christophe Andrieu, Nicolas Chopin, Ettore Fincato +1
We investigate the convergence properties of a class of iterative algorithms designed to minimize a potentially non-smooth and noisy objective function, which may be algebraically…
Gradient-free optimization via integration
Christophe Andrieu, Nicolas Chopin, Ettore Fincato +1
We develop and analyse an approach to optimize functions not assumed to be convex, differentiable or even continuous. The algorithm be…
Adaptive stratified Monte Carlo using decision trees
Nicolas Chopin, Hejin Wang, Mathieu Gerber
It has been known for a long time that stratification is one possible strategy to obtain higher convergence rates for the Monte Carlo estimation of integrals over the hyper-cube $[…