Journal of Applied Probability

Exact estimation for Markov chain equilibrium expectations

Peter W. Glynn and Chang-Han Rhee


We introduce a new class of Monte Carlo methods, which we call exact estimation algorithms. Such algorithms provide unbiased estimators for equilibrium expectations associated with real-valued functionals defined on a Markov chain. We provide easily implemented algorithms for the class of positive Harris recurrent Markov chains, and for chains that are contracting on average. We further argue that exact estimation in the Markov chain setting provides a significant theoretical relaxation relative to exact simulation methods.

Article information

J. Appl. Probab. Volume 51A (2014), 377-389.

First available in Project Euclid: 2 December 2014

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 65C05: Monte Carlo methods
Secondary: 60J05: Discrete-time Markov processes on general state spaces

Unbiased estimation Markov chain equilibrium expectation Markov chain stationary expectation exact estimation exact sampling exact simulation perfect sampling perfect simulation


Glynn, Peter W.; Rhee, Chang-Han. Exact estimation for Markov chain equilibrium expectations. J. Appl. Probab. 51A (2014), 377--389. doi:10.1239/jap/1417528487.

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