DIMACS Focus on Discrete Probability Seminar


Exact Sampling with Markov Chains


Dave Wilson
UC Berkeley


CoRE Building, Room 431
Busch Campus, Rutgers University.


3:30 - 4:30 PM
Thursday, February 27, 1997

For many applications it is useful to sample from a finite set of objects in accordance with some particular distribution. One approach is to run an ergodic (i.e., irreducible aperiodic) Markov chain whose stationary distribution is the desired distribution on this set; after the Markov chain has run for M steps, with M sufficiently large, the distribution governing the state of the chain approximates the desired distribution. Unfortunately it can be difficult to determine how large M needs to be, and frequently the bounds that can be proven are unduly pessimistic. I will describe the recent algorithms of Jim Propp and myself which circumvent this problem. These algorithms determine on their own when to stop, and then output samples in exact accordance with the desired distribution. Our techniques, coupling-from-the-past and cycle-popping, may be applied to any (finite irreducible) Markov chain, and have particularly efficient implementations when the Markov chain is well structured in a suitable sense. Applications include sampling from the Gibbs distributions associated with various statistical mechanics models (including Ising, random-cluster, ice, and dimer), and an algorithm for sampling random spanning trees of a graph, that is just as simple, but more efficient and more general than the well-known Broder/Aldous algorithm. I will conclude by describing some recent work by others that extends the class of Markov chains for which coupling-from-the-past is efficient, and highlight some open problems.

Joint work with Jim Propp

Document last modified on February 14, 1997