Minimising the expected commute time
Abstract
Motivated in part by a problem in simulated tempering (a form of Markov chain Monte Carlo) we seek to minimise, in a suitable sense, the time it takes a (regular) diffusion with instantaneous reflection at 0 and 1 to travel from the origin to and then return (the so-called commute time from 0 to 1). We consider the static and dynamic versions of this problem where the control mechanism is related to the diffusion\rq{}s drift via the corresponding scale function. In the static version the diffusion's drift can be chosen at each point in [0,1], whereas in the dynamic version, we are only able to choose the drift at each point at the time of first visiting that point. The dynamic version leads to a novel type of stochastic control problem.
Cite
@article{arxiv.1207.2719,
title = {Minimising the expected commute time},
author = {Saul Jacka and Ma. Elena Hernandez-Hernandez},
journal= {arXiv preprint arXiv:1207.2719},
year = {2018}
}
Comments
21 pages; significant revision; title change; additional author