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Reports (Research Report) Year : 2014

A perfect sampling algorithm of random walks with forbidden arcs

Stéphane Durand
Florence Perronnin
Jean-Marc Vincent

Abstract

In this paper we show how to construct an algorithm to sample the stationary distribution of a random walk over a grid with forbidden arcs. This algorithm combines the rejection method and coupling from the past of a set of trajectories of the Markov chain that generalizes the classical sandwich approach. We also provide a complexity analysis of this approach in several cases showing a coupling time that is logarithmic in the size of the grid, when no arc is forbidden, and an experimental study of its performance.
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Dates and versions

hal-00964098 , version 1 (24-03-2014)

Identifiers

  • HAL Id : hal-00964098 , version 1

Cite

Stéphane Durand, Bruno Gaujal, Florence Perronnin, Jean-Marc Vincent. A perfect sampling algorithm of random walks with forbidden arcs. [Research Report] RR-8504, INRIA. 2014, pp.23. ⟨hal-00964098⟩
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