4703-10-Notes-C-from-past

4703-10-Notes-C-from-past - Copyright c 2010 by Karl Sigman...

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Copyright c ± 2010 by Karl Sigman 1 Coupling from the past for Markov chains Given a discrete-time Markov chain (MC) { X n : n 0 } , with state space S (assumed here to be discrete), and transition matrix P = ( P ij ) that is known to have a unique stationary (limiting) distribution π = ( π j ) j ∈S , it is of interest to be able to simulate copies of rvs X distributed as π . (We have in mind that a priori π is unknown, and that solving for it is not possible or would entail an enormous amount of time/computation.) Assuming one can simulate the MC step-by-step, we could simulate it up to some large time n and estimate the value of π j (for a given fixed j ∈ S ) by using the estimate π j ( n ) = 1 n n X i =1 I { X i = j } , the proportion of visits to state j out of these n time units. Doing this for all j ∈ S would then yield an estimate ˆ π ( n ) for π . Then we could use the inverse-transform method on ˆ π ( n ) to generate a copy ˆ X distributed exactly as ˆ π ( n ) and hence approximately as π . This yields only an approximation to what we want, and moreover, it is far from clear how “close” our approximation is; not only does ˆ π ( n ) depend on n , but it also depends on the particular sample path of the MC that was used to construct it (including the initial state, X 0 , that was chosen). The purpose of these notes is to introduce the reader to a simulation method that yields a copy of X distributed exactly as π . This is referred to as exact or perfect simulation. The method here is called coupling from the past , because as we shall see, it requires (conceptually) constructing the MC from the infinite past up to time 0, as is done when utilizing Loyne’s Lemma (Lemma 1 in [3]) in the context of monotone stochastic recursions. The method was introduced in the paper [4], with earlier examples and fundamental results concerning exact simulation presented in [2] (where the limitations of such methods (in general) are laid out too). A more recent exposition with simple examples is in [1], Chapter 4, Section 8. 1.1 The framework Assume that S = { 0 , 1 ,...,b } is finite (some b 1), and for each i ∈ S let Y ( i ) denote a rv distributed as the i th row of P : P ( Y ( i ) = j ) = P ( X n +1 = j | X n = i ) = P ij , j ∈ S . Y ( i ) is distributed as “the next state visited if currently the chain is in state i ”. Let Y = ( Y (0) ,Y (1) ,...,Y ( b )), where for now we do not specify the joint distribution of this random vector, only the marginal distributions. Let { Y n : n 1 } denote an iid sequence of such random vectors; Y n = ( Y n (0) ,Y n (1) ,...,Y n ( b )). A key point here for future reference is that if at any time n it holds that X n = i , then a copy of X n +1 can be constructed by taking an independent copy of Y (denoted by Y n ) and defining X n +1 = Y n ( i ); that is, X n +1 = Y n ( X n ). Thus, given any initial value for X 0 , chosen independently of { Y n : n 1 } , we can recursively construct the MC (forwards in time)
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This note was uploaded on 03/14/2012 for the course IEOR 4703 taught by Professor Sigman during the Spring '07 term at Columbia.

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4703-10-Notes-C-from-past - Copyright c 2010 by Karl Sigman...

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