A kind of dual form for coupling from the past algorithm, to sample from Markov chain steady-state probability

The standard coupling from the past (CFTP) algorithm is an interesting tool to sample from exact Markov chain steady-state probability. The CFTP detects, with probability one, the end of the transient phase (called burn-in period) of the chain and consequently the beginning of its stationary phase. For large and/or stiff Markov chains, the burn-in period is expensive in time consumption. In this work, we propose a kind of dual form for CFTP called D-CFTP that, in many situations, reduces the Monte Carlo simulation time and does not need to store the history of the used random numbers from one iteration to another. A performance comparison of CFTP and D-CFTP will be discussed, and some numerical Monte Carlo simulations are carried out to show the smooth running of the proposed D-CFTP.

Exact simulation of the extrema of stable processes

We exhibit an exact simulation algorithm for the supremum of a stable process over a finite time interval using dominated coupling from the past (DCFTP). We establish a novel perpetuity equation for the supremum (via the representation of the concave majorants of Lévy processes [27]) and use it to construct a Markov chain in the DCFTP algorithm. We prove that the number of steps taken backwards in time before the coalescence is detected is finite. We analyse the performance of the algorithm numerically (the code, written in Julia 1.0, is available on GitHub).

Exact sampling for some multi-dimensional queueing models with renewal input

Using a result of Blanchet and Wallwater (2015) for exactly simulating the maximum of a negative drift random walk queue endowed with independent and identically distributed (i.i.d.) increments, we extend it to a multi-dimensional setting and then we give a new algorithm for simulating exactly the stationary distribution of a first-in–first-out (FIFO) multi-server queue in which the arrival process is a general renewal process and the service times are i.i.d.: the FIFO GI/GI/c queue with $ 2 \leq c \lt \infty$ . Our method utilizes dominated coupling from the past (DCFP) as well as the random assignment (RA) discipline, and complements the earlier work in which Poisson arrivals were assumed, such as the recent work of Connor and Kendall (2015). We also consider the models in continuous time, and show that with mild further assumptions, the exact simulation of those stationary distributions can also be achieved. We also give, using our FIFO algorithm, a new exact simulation algorithm for the stationary distribution of the infinite server case, the GI/GI/ $\infty$ model. Finally, we even show how to handle fork–join queues, in which each arriving customer brings c jobs, one for each server.

Perfect sampling for quantum Gibbs states

We show how to obtain perfect samples from a quantum Gibbs state on a quantum computer. To do so, we adapt one of the ``Coupling from the Past''-algorithms proposed by Propp and Wilson. The algorithm has a probabilistic run-time and produces perfect samples without any previous knowledge of the mixing time of a quantum Markov chain. To implement it, we assume we are able to perform the phase estimation algorithm for the underlying Hamiltonian and implement a quantum Markov chain such that the transition probabilities between eigenstates only depend on their energy. We provide some examples of quantum Markov chains that satisfy these conditions and analyze the expected run-time of the algorithm, which depends strongly on the degeneracy of the underlying Hamiltonian. For Hamiltonians with highly degenerate spectrum, it is efficient, as it is polylogarithmic in the dimension and linear in the mixing time. For non-degenerate spectra, its runtime is essentially the same as its classical counterpart, which is linear in the mixing time and quadratic in the dimension, up to a logarithmic factor in the dimension. We analyze the circuit depth necessary to implement it, which is proportional to the sum of the depth necessary to implement one step of the quantum Markov chain and one phase estimation. This algorithm is stable under noise in the implementation of different steps. We also briefly discuss how to adapt different ``Coupling from the Past''-algorithms to the quantum setting.

Widening and clustering techniques allowing the use of monotone CFTP algorithm

The standard Coupling From The Past (CFTP) algorithm is an interesting tool to sample from exact stationary distribution of a Markov chain. But it is very expensive in time consuming for large chains. There is a monotone version of CFTP, called MCFTP, that is less time consuming for monotone chains. In this work, we propose two techniques to get monotone chain allowing use of MCFTP: widening technique based on adding two fictitious states and clustering technique based on partitioning the state space in clusters. Usefulness and efficiency of our approaches are showed through a sample of Markov Chain Monte Carlo simulations.

Attractive regular stochastic chains: perfect simulation and phase transition

We prove that uniqueness of the stationary chain, or equivalently, of the$g$-measure, compatible with an attractive regular probability kernel is equivalent to either one of the following two assertions for this chain: (1) it is a finitary coding of an independent and identically distributed (i.i.d.) process with countable alphabet; (2) the concentration of measure holds at exponential rate. We show in particular that if a stationary chain is uniquely defined by a kernel that is continuous and attractive, then this chain can be sampled using a coupling-from-the-past algorithm. For the original Bramson–Kalikow model we further prove that there exists a unique compatible chain if and only if the chain is a finitary coding of a finite alphabet i.i.d. process. Finally, we obtain some partial results on conditions for phase transition for general chains of infinite order.