Method and system for identifying regeneration points in a Markov chain Monte Carlo simulation

A method of generating a sequence of random numbers using a computer, comprising:

• inputting a group of parameters and a range of values for each parameter, said group of parameters and range of values defining an initial state space;
• generating an enlarged state space by combining said initial state space with an artificial point to produce an enlarged state space;
• generating a Markov chain for the enlarged state space;
• and
• discarding occurrences of said artificial point from the Markov chain.

A method of generating a sequence of random numbers in a distributed manner with a plurality of interconnected computers, said method comprising:

• setting a random number seed on each of a plurality of computers differently;
• inputting a group of parameters and a range of values for each parameter into each computer, said group of parameters and range of values defining an initial state space;
• generating an enlarged state space by combining said initial state space with an artificial value;
• generating a plurality of first Markov chains for the enlarged state space with said plurality of computers;
• removing occurrences of the artificial value from the first plurality of Markov chains to generate a plurality of second Markov chains;
• and
• combining said plurality of second Markov chains.

A memory device carrying a set of instructions which, when executed, performs a method on a computer comprising:

• receiving a group of parameters and a range of values for each parameter, said group of parameters and range of values defining an initial state space;
• generating an enlarged state space by combining said initial state space with an artificial value;
• generating a plurality of first Markov chains for the enlarged state space with a plurality of computers;
• removing occurrences of the artificial value from the first plurality of Markov chains to generate a plurality of second Markov chains;
• and
• combining said plurality of second Markov chains.