Perfect simulation with exponential tails on the running time

Mark Huber
2008 Random structures & algorithms (Print)  
Monte Carlo algorithms typically need to generate random variates from a probability distribution described by an unnormalized density or probability mass function. Perfect simulation algorithms generate random variates exactly from these distributions, but have a running time T that is itself an unbounded random variable. This article shows that commonly used protocols for creating perfect simulation algorithms, such as Coupling From the Past can be used in such a fashion that the running time
more » ... is unlikely to be very much larger than the expected running time.
doi:10.1002/rsa.20212 fatcat:2udyhn5azjezdkdaf3spx7irnm