Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions

We study the convergence properties of a Monte Carlo estimator proposed in the physics literature to compute the quasi-stationary distribution on a transient set of a Markov chain (see De Oliveira and Dickman (2005), (2006), and Dickman and Vidigal (2002)). Using the theory of stochastic approximati...

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Veröffentlicht in:	Advances in applied probability 2016-09, Vol.48 (3), p.792-811
Hauptverfasser:	Blanchet, J., Glynn, P., Zheng, S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Central limit theorem Computer simulation Consistency Convergence Eigenvalues Estimators Markov analysis Markov chains Mathematical analysis Probability Projection Stochasticity
Online-Zugang:	Volltext
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