On the convergence and the Applications of Self Interacting Markov chains

1 December 2008
Prof. Pierre Del Moral
We present a new class of self interacting Markov chain models. In contrast to traditional Markov chains, their time evolution may depend on the occupation measure of the past values. We propose a theoretical basis based on measure valued processes and semigroup technics to analyze their asymptotic behaviour as the time parameter tends to infinity. We exhibit different types of decays to equilibrium depending on the level of interaction. In the end of the talk, we shall present a self interacting methodology to sample from a sequence of target probability measures of increasing complexity. We also analyze their fluctuations around the limiting target measures.
  • Stochastic Analysis Seminar