Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions

We study the convergence properties of a Monte Carlo estimator proposed in the physics literature to compute the quasi-stationary distribution on a transient set of a Markov chain (see De Oliveira and Dickman (2005), (2006), and Dickman and Vidigal (2002)). Using the theory of stochastic approximati...

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Bibliographic Details
Published in:	Advances in applied probability Vol. 48; no. 3; pp. 792 - 811
Main Authors:	Blanchet, J., Glynn, P., Zheng, S.
Format:	Journal Article
Language:	English
Published:	Cambridge, UK Cambridge University Press 01.09.2016 Applied Probability Trust
Subjects:	Approximation Central limit theorem Computer simulation Consistency Convergence Eigenvalues Estimators Markov analysis Markov chains Mathematical analysis Probability Projection Stochasticity Markov chain Quasi-stationary distribution central limit theorem Primary 60J22 stochastic approximation Secondary 60J10
ISSN:	0001-8678, 1475-6064
Online Access:	Get full text
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