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Adam Waterbury: Approximating Quasi-Stationary Distributions with Interacting Reinforced Random Walks

Time: Mon 2021-03-01 15.15 - 16.15

Lecturer: Adam Waterbury, UNC Chapel Hill

Location: Zoom, meeting ID: 621 4469 8204


We propose two numerical schemes for approximating quasi-stationary distributions (QSD) of finite state Markov chains with absorbing states. Both schemes are described in terms of certain interacting chains in which the interaction is given in terms of the total time occupation measure of all particles in the system. The schemes can be viewed as combining the key features of the two basic simulation-based methods for approximating QSD originating from the works of Fleming and Viot (1979) and Aldous, Flannery, and Palacios (1998), respectively. In this talk I will describe the two schemes, discuss their convergence properties, and present some exploratory numerical results comparing them to other QSD approximation methods.

Zoom notes: This meeting ID – 621 4469 8204 – will be the recurring meeting for the Statistics and Probability Seminar.

Belongs to: Department of Mathematics
Last changed: Feb 23, 2021