کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1140739 956740 2010 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Coupling from the past with randomized quasi-Monte Carlo
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Coupling from the past with randomized quasi-Monte Carlo
چکیده انگلیسی

The coupling-from-the-past (CFTP) algorithm of Propp and Wilson permits one to sample exactly from the stationary distribution of an ergodic Markov chain. By using it n times independently, we obtain an independent sample from that distribution. A more representative sample can be obtained by creating negative dependence between these n replicates; other authors have already proposed to do this via antithetic variates, Latin hypercube sampling, and randomized quasi-Monte Carlo (RQMC). We study a new, often more effective, way of combining CFTP with RQMC, based on the array-RQMC algorithm. We provide numerical illustrations for Markov chains with both finite and continuous state spaces, and compare with the RQMC combinations proposed earlier.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 81, Issue 3, November 2010, Pages 476–489
نویسندگان
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