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What Do We Know about the Metropolis Algorithm ?

โœ Scribed by P. Diaconis; L. Saloff-Coste

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
495 KB
Volume
57
Category
Article
ISSN
0022-0000

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โœฆ Synopsis

The Metropolis algorithm is a widely used procedure for sampling from a specified distribution on a large finite set. We survey what is rigorously known about running times. This includes work from statistical physics, computer science, probability, and statistics. Some new results (Propositions 6.1 6.5) are given as an illustration of the geometric theory of Markov chains.

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