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

DOI10.1017/apr.2016.28zbMath1352.60106OpenAlexW2523616195MaRDI QIDQ2830881

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Publication date: 1 November 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1474296315

zbMATH Keywords

stochastic approximationMarkov chaincentral limit theoremquasi-stationary distribution

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (8)

Stochastic approximation of quasi-stationary distributions on compact spaces and applications ⋮ Stochastic approximation on noncompact measure spaces and application to measure-valued Pólya processes ⋮ On the stability of positive semigroups ⋮ Theoretical properties of quasi-stationary Monte Carlo methods ⋮ Stochastic approximation of quasi-stationary distributions for diffusion processes in a bounded domain ⋮ An approximation scheme for quasi-stationary distributions of killed diffusions ⋮ Simulation from quasi-stationary distributions on reducible state spaces ⋮ Approximating quasi-stationary distributions with interacting reinforced random walks

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