TY - GEN
T1 - Control variates as a variance reduction technique for random projections
AU - Kang, Keegan
AU - Hooker, Giles
N1 - Publisher Copyright:
© Springer International Publishing AG, part of Springer Nature 2018.
PY - 2018
Y1 - 2018
N2 - Control variates are used as a variance reduction technique in Monte Carlo integration, making use of positively correlated variables to bring about a reduction of variance for estimated data. By storing the marginal norms of our data, we can use control variates to reduce the variance of random projection estimates. We demonstrate the use of control variates in estimating the Euclidean distance and inner product between pairs of vectors, and give some insight on our control variate correction. Finally, we demonstrate our variance reduction through experiments on synthetic data and the arcene, colon, kos, nips datasets. We hope that our work provides a starting point for other control variate techniques in further random projection applications.
AB - Control variates are used as a variance reduction technique in Monte Carlo integration, making use of positively correlated variables to bring about a reduction of variance for estimated data. By storing the marginal norms of our data, we can use control variates to reduce the variance of random projection estimates. We demonstrate the use of control variates in estimating the Euclidean distance and inner product between pairs of vectors, and give some insight on our control variate correction. Finally, we demonstrate our variance reduction through experiments on synthetic data and the arcene, colon, kos, nips datasets. We hope that our work provides a starting point for other control variate techniques in further random projection applications.
UR - http://www.scopus.com/inward/record.url?scp=85048969301&partnerID=8YFLogxK
U2 - 10.1007/978-3-319-93647-5_1
DO - 10.1007/978-3-319-93647-5_1
M3 - Conference contribution
SN - 9783319936468
T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
SP - 1
EP - 20
BT - Pattern Recognition Applications and Methods - 6th International Conference, ICPRAM 2017, Revised Selected Papers
A2 - Fred, Ana
A2 - De Marsico, Maria
A2 - di Baja, Gabriella Sanniti
PB - Springer Verlag
T2 - 6th International Conference on Pattern Recognition Applications and Methods, ICPRAM 2017
Y2 - 24 February 2017 through 26 February 2017
ER -