We present exchange formulas that allow to express the stationary distribution of a continuous Markov chain with denumerable state-space having generator matrix Q∗ through a con...
We consider a new simulation-based optimization method called the Nested Partitions (NP) method. This method generates a Markov chain and solving the optimization problem is equiv...
For many probability distributions of interest, it is quite difficult to obtain samples efficiently. Often, Markov chains are employed to obtain approximately random samples fro...