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Markov Chain Monte Carlo | LOUIS' BLOG #66

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isLouisHsu opened this issue Apr 22, 2020 · 0 comments
Open

Markov Chain Monte Carlo | LOUIS' BLOG #66

isLouisHsu opened this issue Apr 22, 2020 · 0 comments
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https://louishsu.xyz/2020/04/15/Markov-Chain-Monte-Carlo/

前言马尔科夫链蒙特卡罗法(Markov Chain Monte Carlo, MCMC)是以马尔可夫链为概率模型的蒙特卡罗法。通过构建马尔可夫链，基于该马尔可夫链进行随机游走，产生样本序列，并使用这些样本进行近似数值计算。 蒙特卡罗法蒙特卡罗法可应用在随机抽样、数学期望估计、定积分计算等方面。 随机抽样蒙特卡罗法需要解决的问题是，假设概率分布定义已知，通过抽样获得概率分布的随机样本，用这些随机样本
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