JSM 2004 - Toronto

Abstract #300048

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Activity Number: 33
Type: Invited
Date/Time: Sunday, August 8, 2004 : 4:00 PM to 5:50 PM
Sponsor: IMS
Abstract - #300048
Title: Perfect Sampling with Non-Markovian Update Functions
Author(s): Mark L. Huber*+
Companies: Duke University
Address: Box 90320, Durham, NC, 27713,
Keywords: perfect sampling ; coupling from the past ; non-Markovian coupling
Abstract:

Protocols for perfect sampling such as coupling from the past (CFTP) normally uses couplings described via an update function that is Markovian and unchanging over time. However, CFTP still works with an update function that is both non-Markovian and varies with time. Moreover, employing such update functions can dramatically improve CFTP, making the algorithm both faster and easier to implement. We will illustrate this with several examples on discrete and continuous state spaces.

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Revised March 2004