A kind of dual form for coupling from the past algorithm, to sample from Markov chain steady-state probability

DOI10.1515/MCMA-2019-2050MaRDI QIDQ2293281zbMATH OpenOpenAlexWikidataFDO

Authors Abdelaziz Nasroallah, Mohamed Yasser Bounnite

Publication date 7 February 2020

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma-2019-2050

zbMATH Keywords

Markov chainMonte Carlo simulationstiffnesscoupling from the paststeady-state probability

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Point estimation (62F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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• Exact sampling with coupled Markov chains and applications to statistical mechanics
• How to Get a Perfectly Random Sample from a Generic Markov Chain and Generate a Random Spanning Tree of a Directed Graph
• How to couple from the past using a read-once source of randomness
• On the simulation of Markov chain steady-state distribution using CFTP algorithm
• Perfect Samplers for Mixtures of Distributions
• Perfect Simulation of Conditionally Specified Models
• Perfect simulation and backward coupling^∗
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• Perfect simulation using dominating processes on ordered spaces, with application to locally stable point processes
• Perfect slice samplers
• Widening and clustering techniques allowing the use of monotone CFTP algorithm

Cited in

(3)

• Widening and clustering techniques allowing the use of monotone CFTP algorithm
• The double CFTP method
• On the simulation of Markov chain steady-state distribution using CFTP algorithm

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