Seminar: "Can independent Metropolis samplers beat Monte Carlo?"

AUEB STATISTICS SEMINAR SERIES MARCH 2023

Petros Dellaportas, Department of Statistics, Athens University of Economics and Business& UCL

Can independent Metropolis samplers beat Monte Carlo?

Room T103, New AUEB Building

ABSTRACT:

Assume that we would like to estimate the expected value of a function f with respect to a density π by using an importance density function q. We prove that if π and q are close enough under KL divergence, an independent Metropolis sampler estimator that obtains samplers from π with proposal density q, enriched with a variance reduction computational strategy based on control variates, achieves smaller asymptotic variance than the one from crude Monte Carlo. We illustrate our results in challenging option pricing problems that require Monte Carlo estimation. Furthermore, we propose an automatic sampling methodology based on adaptive independent Metropolis and we demonstrate its applicability in option pricing and Bayesian inference problems.

ology based on adaptive independent Metropolis and we demonstrate its applicability in option pricing and Bayesian inference problems.