 Probit posterior score

For probit regression with $s_i=2Y_i-1$ and prior $N(0,{\sigma }^{2}I)$, the posterior score control variate isFor $h(\beta )=\Phi (x_{\ast }^T\beta )$, its covariance with the score is $-x_{\ast }\mathbb{E}[\varphi (x_{\ast }^T\beta )]$. It is nonzero whenever $x_{\ast }\ne 0$, ensuring strict improvement by the optimal control variate.