5 citations · 7 across the 2 of their papers we have counts for
2 papers
stat.ML2016★ 5 cited
Multilevel Monte Carlo for Scalable Bayesian Computations
Mike Giles, Tigran Nagapetyan, Lukasz Szpruch +2
Markov chain Monte Carlo (MCMC) algorithms are ubiquitous in Bayesian computations. However, they need to access the full data set in order to evaluate the posterior density at eve…
q-fin.CP2014★ 2 cited
Multilevel path simulation for weak approximation schemes
Denis Belomestny, Tigran Nagapetyan
In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak approximation schemes. It turns out that by means of a simple coupling between cons…