# Diffusion approximations and control variates for MCMC

arXiv: https://arxiv.org/abs/1808.01665 · HTML: https://mlsanity.com/paper/1808.01665/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 5 Aug 2018.

## Built on by (most cited first, 1 of 1)

- [Total Variation Guarantees for Sampling with Stochastic Localization](https://mlsanity.com/paper/2603.29555/) (2026)

## Abstract (arXiv)

A new methodology is presented for the construction of control variates to reduce the variance of additive functionals of Markov Chain Monte Carlo (MCMC) samplers. Our control variates are definedthrough the minimization of the asymptotic variance of the Langevin diffusion over a family of functions, which can be seen as a quadratic risk minimization procedure. The use of these control variates is theoretically justified. We show that the asymptotic variances of some well-known MCMC algorithms, including the Random Walk Metropolis and the (Metropolis) Unadjusted/Adjusted Langevin Algorithm, are close to the asymptotic variance of the Langevin diffusion. Several examples of Bayesian inference problems demonstrate that the corresponding reduction in the variance is significant.