We propose a general purpose variance reduction technique for Markov Chain Monte Carlo estimators based on the Zero-Variance principle introduced in the physics literature by Assaraf and Caarel ( 1999). The potential of the new idea is illustrated with some toy examples and a real application to...

We propose a general purpose variance reduction technique for MCMC estimators. The idea is obtained by combining standard variance reduction principles known for regular Monte Carlo simulations (Ripley, 1987) and the Zero-Variance principle introduced in the physics literature (Assaraf and...