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Fastest Mixing Markov Chain on a Graph
Markov chains second largest eigenvalue modulus fast mixing
2015/7/10
We consider a symmetric random walk on a connected graph, where each edge is labeled with the probability of transition between the two adjacent vertices. The associated Markov chain has a uniform equ...
Fastest Mixing Markov Chain on Graphs with Symmetries
Markov chains fast mixing eigenvalue optimization semidefi nite programming
2015/7/9
We show how to exploit symmetries of a graph to efficiently compute the fastest mixing Markov chain on the graph (i.e., find the transition probabilities on the edges to minimize the second-largest ei...
Accelerated Regeneration for Markov Chain Simulations
Accelerated Regeneration Markov Chain Simulations
2015/7/8
This paper describes a generalization of the classical regenerative method of simulation output analysis. Instead of blocking a generated sample path on returns to a fixed return state, a more general...
Exact Estimation for Markov Chain Equilibrium Expectations
Exact Estimation Markov Chain Equilibrium Expectations
2015/7/6
We introduce a new class of Monte Carlo methods, which we call exact estimation algorithms. Such algorithms provide unbiased estimators for equilibrium expectations associated with real-valued functio...