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

Daniel J. Hsu Aryeh Kontorovich Csaba Szepesvári

Published in: NIPS (2015)

Keyphrases

markov chain
sample path
steady state
importance sampling
state space
transition probabilities
finite state
markov process
monte carlo
random walk
stochastic process
markov processes
markov model
stationary distribution
asymptotic analysis
large deviations
parameter estimation
average reward
machine learning