Blanchet J, Glynn P, Zheng S. Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions. Advances in Applied Probability. 2016;48(3):792-811. doi:10.1017/apr.2016.28

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Abstract

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 approximations we verify the consistency of the estimator and obtain an associated central limit theorem. We provide an example showing that convergence might occur very slowly if a certain eigenvalue condition is violated. We alleviate this problem using an easy-to-implement projection step combined with averaging.

Authors
Jose Blanchet, Peter Glynn, Shuheng Zheng
Publication date
2016/9
Journal
Advances in Applied Probability
Volume
48
Issue
3
Pages
792-811
Publisher
Cambridge University Press