Exponential bounds and stopping rules for MCMC and general Markov chains.
Ioannis KontoyiannisLuis Alfonso Lastras-MontañoSean P. MeynPublished in: VALUETOOLS (2006)
Keyphrases
- markov chain
- steady state
- markov process
- finite state
- stopping rules
- monte carlo
- monte carlo method
- stochastic process
- confidence intervals
- transition probabilities
- markov model
- random walk
- markov chain monte carlo
- state space
- stationary distribution
- special case
- markov processes
- probabilistic automata
- transition matrix
- importance sampling
- lower bound
- non stationary
- worst case
- variance reduction
- markov models
- weighted sums
- machine learning