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1 results

  • Exact estimation for Markov chain equilibrium expectations

  • Part of
  • Peter W. Glynn, Chang-Han Rhee
  • Journal:
    Journal of Applied Probability / Volume 51 / Issue A / December 2014
    Published online by Cambridge University Press:
    30 March 2016, pp. 377-389
    Print publication:
    December 2014
    • Article
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  • We introduce a new class of Monte Carlo methods, which we call exact estimation algorithms. Such algorithms provide unbiased estimators for equilibrium expectations associated with real-valued functionals defined on a Markov chain. We provide easily implemented algorithms for the class of positive Harris recurrent Markov chains, and for chains that are contracting on average. We further argue that exact estimation in the Markov chain setting provides a significant theoretical relaxation relative to exact simulation methods.