Abstract
We establish, for various scenarios, whether or not interruptible exact stationary sampling is possible when a finite-state Markov chain can only be viewed passively. In particular, we prove that such sampling is not possible using a single copy of the chain. Such sampling is possible when enough copies of the chain are available, and we provide an algorithm that terminates with probability one.
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Crank, K., Fill, J.A. Interruptible Exact Sampling in the Passive Case. Methodology and Computing in Applied Probability 4, 359–376 (2002). https://doi.org/10.1023/A:1023514501208
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DOI: https://doi.org/10.1023/A:1023514501208