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Mixing time of random processes

김수현 0 1332
구분 수학강연회
일정 2017-09-14 16:00 ~ 17:00
강연자 서인석 (서울대)
기타
담당교수 *수학강연회
The general theory implies that the distribution of an irreducible Markov chain converges to its stationary distribution as time diverges to infinity. The speed of corresponding convergence is a significant issue in the study of mathematical physics or statistical technique known as MCMC. In particular, this speed is exponentially slow under the presence of metastability. In this presentation, we shall focus on the other case; absence of metastability. We will observe a peculiar behavior known as the cut-off phenomenon.

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Research Institute of Mathematics
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