Year: 2024
Type: preprint
Abstract: We investigate the concatenation of Markov processes. Our primary concern is to utilize processes constructed in this manner for Monte Carlo integration. To enable this using conventional methods, it is essential to demonstrate the Markov property and invariance with respect to a given target distribution. We provide mild sufficient conditions for this. Our main result is the identification of the generator of the concatenation of Markov processes. This result provides the theoretical foundation for Monte Carlo methods based on this construction.
Source: arXiv (Cornell University)
Author: Holl, Sascha
Institution: Max Planck Institute for Informatics
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4404304634