Unit:
Τομέας Στατιστικής και Επιχειρησιακής ΈρευναςLibrary of the School of Science
Supervisors info:
Χελιώτης Δημήτρης Επικ. Καθηγ.(Επιβλέπων), Οικονόμου Αντ. Αναπλ. Καθηγ., Μελιγκοτσίδου Λ. Λέκτορας
Original Title:
Μαρκοβιανές αλυσίδες και ζευγάρωμα από το παρελθόν
Summary:
In 1996Jim ProppandDavid Wilsonproducedan algorithm thatsolvesthe problems of a
standardMCMCmethod.
This algorithmwas named"the Propp-Wilsonalgorithm" and it is anexact simulation
algorithm.
Toimprove the functionality ofthe Propp-Wilsonfor simulatingMarkov chainswith
large state spaces,
the ideaofsandwiching came up,which was not affectedby the size ofthechain's
state space.Anotherrecent modification
of the algorithmbyWilson,addressesthe problemscaused by therepeated
useandstorageof the samerandom numbers
forsimulatingthe chains.
Keywords:
Markov chains, Propp-Wilson algorithm, Sandwiching, Wilson's modification , Twin run
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