Quantitative Bounds for Convergence Rates of Continuous Time Markov Processes PDF Download
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Author: Gareth O. Roberts
Publisher:
ISBN:
Category : Markov processes
Languages : en
Pages : 20
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Book Description
Author: Gareth O. Roberts
Publisher:
ISBN:
Category : Markov processes
Languages : en
Pages : 20
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Book Description
![Application of Geometric Bounds to Convergence Rates of Markov Chains and Markov Processes on R[superscript]n PDF](https://books.google.com/books/content/images/frontcover/3u9BzwEACAAJ?fife=w80-h100)
Author: Wai Kong Yuen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Quantitative geometric rates of convergence for reversible Markov chains are closely related to the spectral gap of the corresponding operator, which is hard to calculate for general state spaces. This thesis describes a geometric argument to give different types of bounds for spectral gaps of Markov chains on bounded subsets of Rn and to compare the rates of convergence of different Markov chains. We also extend the discrete-time results to homogeneous continuous-time reversible Markov processes. The limit path bounds and the limit Cheeger's bounds are introduced. Two quantitative examples of 1-dimensional diffusions are studied for the limit Cheeger's bounds and a 'n'-dimensional diffusion is studied for the limit path bounds.
Author: Randal Douc
Publisher: Springer
ISBN: 3319977040
Category : Mathematics
Languages : en
Pages : 758
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Book Description
This book covers the classical theory of Markov chains on general state-spaces as well as many recent developments. The theoretical results are illustrated by simple examples, many of which are taken from Markov Chain Monte Carlo methods. The book is self-contained, while all the results are carefully and concisely proven. Bibliographical notes are added at the end of each chapter to provide an overview of the literature. Part I lays the foundations of the theory of Markov chain on general states-space. Part II covers the basic theory of irreducible Markov chains on general states-space, relying heavily on regeneration techniques. These two parts can serve as a text on general state-space applied Markov chain theory. Although the choice of topics is quite different from what is usually covered, where most of the emphasis is put on countable state space, a graduate student should be able to read almost all these developments without any mathematical background deeper than that needed to study countable state space (very little measure theory is required). Part III covers advanced topics on the theory of irreducible Markov chains. The emphasis is on geometric and subgeometric convergence rates and also on computable bounds. Some results appeared for a first time in a book and others are original. Part IV are selected topics on Markov chains, covering mostly hot recent developments.
Author: J. A. van Casteren
Publisher: World Scientific
ISBN: 9814322180
Category : Mathematics
Languages : en
Pages : 825
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Book Description
The book provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space. It describes its generators and the link with stochastic differential equations in infinite dimensions. In a unifying way, where the square gradient operator is employed, new results for backward stochastic differential equations and long-time behavior are discussed in depth. The book also establishes a link between propagators or evolution families with the Feller property and time-inhomogeneous Markov processes. This mathematical material finds its applications in several branches of the scientific world, among which are mathematical physics, hedging models in financial mathematics, and population models.
Author: Neal Noah Madras
Publisher: American Mathematical Soc.
ISBN: 9780821871324
Category : Mathematics
Languages : en
Pages : 246
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Book Description
This volume contains the proceedings of the Workshop on Monte Carlo Methods held at The Fields Institute for Research in Mathematical Sciences (Toronto, 1998). The workshop brought together researchers in physics, statistics, and probability. The papers in this volume - of the invited speakers and contributors to the poster session - represent the interdisciplinary emphasis of the conference. Monte Carlo methods have been used intensively in many branches of scientific inquiry. Markov chain methods have been at the forefront of much of this work, serving as the basis of many numerical studies in statistical physics and related areas since the Metropolis algorithm was introduced in 1953. Statisticians and theoretical computer scientists have used these methods in recent years, working on different fundamental research questions, yet using similar Monte Carlo methodology. This volume focuses on Monte Carlo methods that appear to have wide applicability and emphasizes new methods, practical applications and theoretical analysis. It will be of interest to researchers and graduate students who study and/or use Monte Carlo methods in areas of probability, statistics, theoretical physics, or computer science.
Author: William James Anderson
Publisher: New York : Springer-Verlag
ISBN:
Category : Mathematics
Languages : en
Pages : 376
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Book Description
Author: Patrice Bertail
Publisher: Springer Science & Business Media
ISBN: 038736062X
Category : Mathematics
Languages : en
Pages : 491
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Book Description
This book gives an account of recent developments in the field of probability and statistics for dependent data. It covers a wide range of topics from Markov chain theory and weak dependence with an emphasis on some recent developments on dynamical systems, to strong dependence in times series and random fields. There is a section on statistical estimation problems and specific applications. The book is written as a succession of papers by field specialists, alternating general surveys, mostly at a level accessible to graduate students in probability and statistics, and more general research papers mainly suitable to researchers in the field.
![Application of Geometric Bounds to Convergence Rates of Markov Chains and Markov Processes on R[superscript]n PDF](https://books.google.com/books/content/images/frontcover/_AK_wwEACAAJ?fife=w80-h100)
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
![Application of Geometric Bounds to Convergence Rates of Markov Chains and Markov Processes on R[superscript]n [microform] PDF](https://books.google.com/books/content/images/frontcover/Zz4IywAACAAJ?fife=w80-h100)
Author: Wai Kong Yuen
Publisher: National Library of Canada = Bibliothèque nationale du Canada
ISBN: 9780612586192
Category :
Languages : en
Pages : 188
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Book Description
Author: Alessandro Abate
Publisher: Springer Nature
ISBN: 3030851729
Category : Computers
Languages : en
Pages : 469
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Book Description
This book constitutes the proceedings of the 18th International Conference on Quantitative Evaluation Systems, QEST 2021, held in Paris, France, in August 2021. The 21 full papers and 2 short papers presented together with 2 keynote papers were carefully reviewed and selected from 47 submissions. The papers are organized in the following topics: probabilistic model checking; quantitative models and metamodels: analysis and validation; queueing systems; learning and verification; simulation; performance evaluation; abstractions and aggregations; and stochastic models.
