TY - GEN
T1 - An algorithm of coupling from the Past with directional threshold
AU - Shen, Linfeng
AU - Wang, Haihui
AU - Qin, Shiyin
PY - 2008
Y1 - 2008
N2 - This paper proposed a new algorithm of Coupling from the Past (CFTP) with directional threshold. CFTP, also called Exact Sampling, established in 1996 by Propp and Wilson, aimed that it would eliminate the need to compute Markov chain convergence rate for the quality control. CFTP was used in mixture models of Monte Carlo and worked well in low computation complexity problems. The Coupling from the Past was appealing for its invariant structure but in many applications the process of coupling was not always an independent process. And this suboptimal algorithm would easily be trapped into local trap and its convergence was much affected. In this paper a new algorithm with directional threshold is presented and supported from simulation experiments; comparison of computing results with CFTP shows improvement of convergence out of the two sets of samples, with different total samples number respectively.
AB - This paper proposed a new algorithm of Coupling from the Past (CFTP) with directional threshold. CFTP, also called Exact Sampling, established in 1996 by Propp and Wilson, aimed that it would eliminate the need to compute Markov chain convergence rate for the quality control. CFTP was used in mixture models of Monte Carlo and worked well in low computation complexity problems. The Coupling from the Past was appealing for its invariant structure but in many applications the process of coupling was not always an independent process. And this suboptimal algorithm would easily be trapped into local trap and its convergence was much affected. In this paper a new algorithm with directional threshold is presented and supported from simulation experiments; comparison of computing results with CFTP shows improvement of convergence out of the two sets of samples, with different total samples number respectively.
KW - Coupling from the past
KW - Exact Sampling
KW - Markov chain Monte Carlo
UR - https://www.scopus.com/pages/publications/62349126263
U2 - 10.1109/ISCSCT.2008.90
DO - 10.1109/ISCSCT.2008.90
M3 - 会议稿件
AN - SCOPUS:62349126263
SN - 9780769534985
T3 - Proceedings - International Symposium on Computer Science and Computational Technology, ISCSCT 2008
SP - 146
EP - 149
BT - Proceedings - International Symposium on Computer Science and Computational Technology, ISCSCT 2008
T2 - International Symposium on Computer Science and Computational Technology, ISCSCT 2008
Y2 - 20 December 2008 through 22 December 2008
ER -