Book Chapter

Non-Coupling from the Past

GR Grimmett, M Holmes

Progress in Probability | Springer International Publishing | Published : 2021

Abstract

The method of ‘coupling from the past’ permits exact sampling from the invariant distribution of a Markov chain on a finite state space. The coupling is successful whenever the stochastic dynamics are such that there is coalescence of all trajectories. The issue of the coalescence or non-coalescence of trajectories of a finite state space Markov chain is investigated in this note. The notion of the ‘coalescence number’ k(μ) of a Markovian coupling μ is introduced, and results are presented concerning the set K(P) of coalescence numbers of couplings corresponding to a given transition matrix P.

University of Melbourne Researchers