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A simple Markov chain for independent Bernoulli variables conditioned on their sum

5 December 2020
J. Heng
Pierre E. Jacob
Nianqiao P. Ju
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Abstract

We consider a vector of NNN independent binary variables, each with a different probability of success. The distribution of the vector conditional on its sum is known as the conditional Bernoulli distribution. Assuming that NNN goes to infinity and that the sum is proportional to NNN, exact sampling costs order N2N^2N2, while a simple Markov chain Monte Carlo algorithm using 'swaps' has constant cost per iteration. We provide conditions under which this Markov chain converges in order Nlog⁡NN \log NNlogN iterations. Our proof relies on couplings and an auxiliary Markov chain defined on a partition of the space into favorable and unfavorable pairs.

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