Perfect Simulation Of Processes With Long Memory: a 'Coupling Into And From The Past' Algorithm - Archive ouverte HAL
Article Dans Une Revue Random Structures and Algorithms Année : 2015

Perfect Simulation Of Processes With Long Memory: a 'Coupling Into And From The Past' Algorithm

Résumé

We describe a new algorithm for the perfect simulation of variable length Markov chains and random systems with perfect connections. This algorithm, which generalizes Propp and Wilson's simulation scheme, is based on the idea of coupling into and from the past. It improves on existing algorithms by relaxing the conditions on the kernel and by accelerating convergence, even in the simple case of finite order Markov chains. Although chains of variable or infinite order have been widely investigated for decades, their use in applied probability, from information theory to bio-informatics and linguistics, has recently led to considerable renewed interest.
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Dates et versions

hal-00798388 , version 1 (08-03-2013)
hal-00798388 , version 2 (14-10-2013)

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  • HAL Id : hal-00798388 , version 2

Citer

Aurélien Garivier. Perfect Simulation Of Processes With Long Memory: a 'Coupling Into And From The Past' Algorithm. Random Structures and Algorithms, 2015, 46 (2), pp.300-319. ⟨hal-00798388v2⟩
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