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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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| Main Authors: | , |
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| Format: | Artigo |
| Language: | Inglês |
| Published: |
National Academy of Sciences
2005
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| Subjects: | |
| Online Access: | 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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