Exact Estimation for Markov Chain Equilibrium Expectations

Peter. W. Glynn and Chang-Han Rhee

J. Appl. Prob. Spec. Vol. 51A, 377-389 (2014).

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.