Fast Compression of MCMC Output

@article{Chopin2021FastCO,
  title={Fast Compression of MCMC Output},
  author={Nicolas Chopin and Gabriel Ducrocq},
  journal={Entropy},
  year={2021},
  volume={23}
}
We propose cube thinning, a novel method for compressing the output of an MCMC (Markov chain Monte Carlo) algorithm when control variates are available. It allows resampling of the initial MCMC sample (according to weights derived from control variates), while imposing equality constraints on the averages of these control variates, using the cube method (an approach that originates from survey sampling). The main advantage of cube thinning is that its complexity does not depend on the size of… Expand

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