Tag Archives: Markov chain quasi Monte Carlo

Discrepancy bounds for uniformly ergodic Markov chain quasi-Monte Carlo

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In this paper we prove bounds on the discrepancy of Markov chains which are generated by a deterministic driver sequence u_1, u_2, \ldots, u_n \in [0,1]^s. We also prove a Koksma-Hlawka inequality. The main assumption which we use is uniform ergodicity of the transition (Markov) kernel. We describe the essential ingredients and results in the following. Continue reading