On combining graph-based variance reduction schemes
published: June 7, 2010, recorded: May 2010, views: 100
Report a problem or upload filesIf you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our ticket system to describe your request and upload the data.
Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.
In this paper, we consider two variance reduction schemes that exploit the structure of the primal graph of the graphical model: Rao-Blackwellised w-cutset sampling and AND/OR sampling. We show that the two schemes are orthogonal and can be combined to further reduce the variance. Our combination yields a new family of estimators which trade time and space with variance. We demonstrate experimentally that the new estimators are superior, often yielding an order of magnitude improvement over previous schemes on several benchmarks.
Link this pageWould you like to put a link to this lecture on your homepage?
Go ahead! Copy the HTML snippet !