Simulation M2 AMIS, UVSQ

Supports de cours

• Cours du 7 Oct: Simulation parfaite (I)
  • Slides
  • Chapitres 10 et 11 de Olle Häggström. Finite Markov Chains and Algorithmic Applications. Cambridge University Press. 2002.
• Cours du 21 Nov: Simulation parfaite (II)
  • Slides
  • Pour le critère de Foster et sa preuve, voir section 5.1.1. du livre: Pierre Bremaud. Markov Chains: Gibbs Fields, Monte Carlo Simulation, and Queues. Springer. 2008.
    ou le Chapitre 2.3 des notes de Pierre Brémaud (Merci !) sur les chaînes de Markov.
• Cours du 28 Nov: Simulation parfaite (III)
  • Slides
  • Chapitres 6, 7, et 13 de Olle Häggström. Finite Markov Chains and Algorithmic Applications. Cambridge University Press. 2002.
  • Mark Huber. Perfect Sampling Using Bounding Chains. Annals of Applied Probability 2004, Vol. 14, No. 2, 734-753. ArXiv preprint..

Références

• Olle Häggström. Finite Markov Chains and Algorithmic Applications. Cambridge University Press. 2002.
• James G. Propp and David B. Wilson. Exact sampling with coupled Markov chains and applications to statistical mechanics. Random Structures and Algorithms, 9(1&2):223-252, 1996.
• David B. Wilson. How to couple from the past using a read-once source of randomness. Random Structures and Algorithms 16(1):85--113, 2000.
• David B. Wilson. Web Site for Perfectly Random Sampling with Markov Chains.
• Wilfrid S. Kendall. Notes on Perfect Simulation. 2004.
• Jantien Dopper, Bruno Gaujal, Jean-Marc Vincent. Bounds for the Coupling Time in Queueing Networks Perfect Simulation. Numerical Solutions for Markov Chain (NSMC06), :117--136, Charleston. 2006.
• Ana Busic, Bruno Gaujal, Jean-Marc Vincent. Perfect Simulation and Non-monotone Markovian Systems. Valuetools'08, October 2008, Athens, Greece. [pdf]
• Mark Huber. Perfect Sampling Using Bounding Chains. Annals of Applied Probability 2004, Vol. 14, No. 2, 734-753. ArXiv preprint.