Multilevel Monte Carlo simulation of Bayesian Lasso
Year: 2025
Type: article
Abstract: We show that Lasso and Bayesian Lasso are very close when the sparsity is large and the noise is small. We propose to solve Bayesian Lasso using multivalued stochastic differential equation. We derive four discretization algorithms, and present highly efficient multilevel Monte Carlo (MLMC) simulations. Additionally, we perform a numerical comparison of the Monte Carlo (MC), MLMC and proximal Markov chain Monte Carlo algorithm (PMALA).
Authors: Nadji Rahmania, Daoud Ounaissi
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
Estimated APC paid: $2,712
OpenAlex ID: W4416922134