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Coupling from the Past

By Eric Vigoda

Abstract

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)

Year: 2006
OAI identifier: oai:CiteSeerX.psu:10.1.1.134.5035
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