The waste-recycling Monte Carlo (WRMC) algorithm introduced by physicists is a modification of the (multi-proposal) Metropolis-Hastings algorithm, which makes use of all the proposals in the empirical mean, whereas th...
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The waste-recycling Monte Carlo (WRMC) algorithm introduced by physicists is a modification of the (multi-proposal) Metropolis-Hastings algorithm, which makes use of all the proposals in the empirical mean, whereas the standard (multi-proposal) Metropolis-Hastings algorithm uses only the accepted proposals. In this paper we extend the WRMC algorithm to a general control variate technique and exhibit the optimal choice of the control variate in terms of the asymptotic variance. We also give an example which shows that, in contradiction to the intuition of physicists, the WRMC algorithm can have an asymptotic variance larger than that of the Metropolis-Hastings algorithm. However, in the particular case of the Metropolis-Hastings algorithm called the Boltzmann algorithm, we prove that the WRMC algorithm is asymptotically better than the Metropolis-Hastings algorithm. This last property is also true for the multiproposal Metropolis-Hastings algorithm. In this last framework we consider a linear parametric generalization of WRMC, and we propose an estimator of the explicit optimal parameter using the proposals.
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