The rejection Gibbs coupler: A perfect sampling algorithm and its application to truncated multivariate Gaussian distributions

被引：0
|
作者：
Huang, YF [1 ]
Ghirmai, T [1 ]
Djuric, PM [1 ]
机构：
[1] SUNY Stony Brook, Dept Elect & Comp Engn, Stony Brook, NY 11794 USA
来源：
2001 IEEE WORKSHOP ON STATISTICAL SIGNAL PROCESSING PROCEEDINGS | 2001年
关键词：
D O I：
10.1109/SSP.2001.955217
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Recently, a new Markov chain based algorithm for drawing samples from a desired distribution has been proposed. This algorithm, also known as perfect sampling algorithm, can determine exactly when a Markov chain enters the equilibrium, and hence can output exact samples. In this paper, we introduce a perfect sampling algorithm called the rejection Gibbs coupler for perfect sampling from bounded multivariate distributions. We demonstrate an application of the rejection coupler for generation of samples from truncated multivariate Gaussian distributions.
引用
收藏
页码：42 / 45
页数：4
相关论文
共 50 条
  • [1] Gibbs sampling approach for generation of truncated multivariate Gaussian random variables
    Kotecha, JH
    Djuric, PM
    ICASSP '99: 1999 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, PROCEEDINGS VOLS I-VI, 1999, : 1757 - 1760
  • [2] Perfect sampling for Gibbs point processes using partial rejection sampling
    Moka, Sarat B.
    Kroese, Dirk P.
    BERNOULLI, 2020, 26 (03) : 2082 - 2104
  • [3] A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets
    Maatouk, Hassan
    Bay, Xavier
    MONTE CARLO AND QUASI-MONTE CARLO METHODS, 2016, 163 : 521 - 530
  • [4] Optimal direction Gibbs sampler for truncated multivariate normal distributions
    Andres Christen, J.
    Fox, Colin
    Santana-Cibrian, Mario
    COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2017, 46 (04) : 2587 - 2600
  • [5] On probabilistic constraints with multivariate truncated Gaussian and lognormal distributions
    Diniz A.L.
    Henrion R.
    Energy Systems, 2017, 8 (1) : 149 - 167
  • [6] On the Rejection Rate of Exact Sampling Algorithm for Discrete Gaussian Distributions over the Integers
    Du, Yusong
    Ma, Xiao
    THEORY OF COMPUTING SYSTEMS, 2022, 66 (06) : 1099 - 1122
  • [7] On the Rejection Rate of Exact Sampling Algorithm for Discrete Gaussian Distributions over the Integers
    Yusong Du
    Xiao Ma
    Theory of Computing Systems, 2022, 66 : 1099 - 1122
  • [8] Sampling Some Truncated Distributions Via Rejection Algorithms
    Laud, Purushottam W.
    Damien, Paul
    Shively, Thomas S.
    COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2010, 39 (06) : 1111 - 1121
  • [9] Marginals of multivariate Gibbs distributions with applications in Bayesian species sampling
    Cerquetti, Annalisa
    ELECTRONIC JOURNAL OF STATISTICS, 2013, 7 : 697 - 716
  • [10] A rejection sampling algorithm for off-centered discrete Gaussian distributions over the integers
    Yusong DU
    Baodian WEI
    Huang ZHANG
    Science China(Information Sciences), 2019, 62 (03) : 196 - 198
12345