Mixing Time Estimation in Reversible Markov Chains from a Single Sample Path.

Daniel J. Hsu Aryeh Kontorovich Csaba Szepesvári

Published in: CoRR (2015)

Keyphrases

markov chain
sample path
importance sampling
steady state
monte carlo
finite state
transition probabilities
markov process
random walk
stationary distribution
stochastic process
state space
markov model
markov processes
fixed point
learning algorithm
markov chain monte carlo
average reward
queueing systems