A Perfect Sampling Algorithm of Random Walks with Forbidden Arcs

  • Stéphane Durand
  • Bruno Gaujal
  • Florence Perronnin
  • Jean-Marc Vincent
Part of the Lecture Notes in Computer Science book series (LNCS, volume 8657)

Abstract

In this paper we show how to construct an algorithm to sample the stationary distribution of a random walk over {1,…, N}d with forbidden arcs. This algorithm combines the rejection method and coupling from the past of a set of trajectories of the Markov chain that generalizes the classical sandwich approach. We also provide a complexity analysis of this approach in several cases showing a coupling time in O( N2dlogd) when no arc is forbidden and an experimental study of its performance.

Keywords

Perfect simulation Markov chain random walks 

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Copyright information

© Springer International Publishing Switzerland 2014

Authors and Affiliations

  • Stéphane Durand
    • 1
    • 4
  • Bruno Gaujal
    • 4
    • 2
    • 3
  • Florence Perronnin
    • 2
    • 3
    • 4
  • Jean-Marc Vincent
    • 2
    • 3
    • 4
  1. 1.ENS of LyonFrance
  2. 2.LIGUniv. Grenoble AlpesGrenobleFrance
  3. 3.CNRS, LIGGrenobleFrance
  4. 4.InriaFrance

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