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A quasi-Monte Carlo Metropolis algorithm

This work presents a version of the Metropolis–Hastings algorithm using quasi-Monte Carlo inputs. We prove that the method yields consistent estimates in some problems with finite state spaces and completely uniformly distributed inputs. In some numerical examples, the proposed method is much more a...

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Sonraí Bibleagrafaíochta
Main Authors: Owen, Art B., Tribble, Seth D.
Formáid: Artigo
Teanga:Inglês
Foilsithe: National Academy of Sciences 2005
Ábhair:
Rochtain Ar Líne:https://ncbi.nlm.nih.gov/pmc/articles/PMC1150275/
https://ncbi.nlm.nih.gov/pubmed/15956207
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1073/pnas.0409596102
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