2006 Coupling from the Past
نویسنده
چکیده
We saw in the last lecture how Markov chains can be useful algorithmically. If we have a probability distribution we’d like to generate random samples from, we design an ergodic Markov chain whose unique stationary distribution is the desired distribution. We then run the chain (i.e., start at an arbitrary state and evolve according to the transition matrix), until the process is at (or close to) the stationary distribution.
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تاریخ انتشار 2006