Markov Chain Monte Carlo
2013-12-31 14:17
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Monte Carlo方法是基于随机数模拟计算的一类计算方法。Monte Carlo方法必需有随机数源,由于计算机可以提供伪随机数,因此,此方法最适合通过计算机来实现。 Monte Carlo方法常用于不确定性问题的模拟计算。对于一些没有随机成分的问题,有时可以看成某些随机变量的相关量的计算,例如期望,通过模拟样本来估计。 必需保证所选样本真实反应了模拟的总体分布,才能更有效的来估计这些量。 若模拟样本是通过Markov链方式得到,此方法常称为Markov
Chain Monte Carlo(MCMC)方法。
![](http://img.blog.csdn.net/20131231140330546?watermark/2/text/aHR0cDovL2Jsb2cuY3Nkbi5uZXQvbGlrYWlkbHV0/font/5a6L5L2T/fontsize/400/fill/I0JBQkFCMA==/dissolve/70/gravity/SouthEast)
![](http://img.blog.csdn.net/20131231141957734?watermark/2/text/aHR0cDovL2Jsb2cuY3Nkbi5uZXQvbGlrYWlkbHV0/font/5a6L5L2T/fontsize/400/fill/I0JBQkFCMA==/dissolve/70/gravity/SouthEast)
![](http://img.blog.csdn.net/20131231142016843?watermark/2/text/aHR0cDovL2Jsb2cuY3Nkbi5uZXQvbGlrYWlkbHV0/font/5a6L5L2T/fontsize/400/fill/I0JBQkFCMA==/dissolve/70/gravity/SouthEast)
![](http://img.blog.csdn.net/20131231142047140?watermark/2/text/aHR0cDovL2Jsb2cuY3Nkbi5uZXQvbGlrYWlkbHV0/font/5a6L5L2T/fontsize/400/fill/I0JBQkFCMA==/dissolve/70/gravity/SouthEast)
其中方差最小也就是求UMVUE,然后通过Jensen's inequality可以得到p(x)=c|fai(x)|。
![](http://img.blog.csdn.net/20131231142117843?watermark/2/text/aHR0cDovL2Jsb2cuY3Nkbi5uZXQvbGlrYWlkbHV0/font/5a6L5L2T/fontsize/400/fill/I0JBQkFCMA==/dissolve/70/gravity/SouthEast)
![](http://img.blog.csdn.net/20131231142146671?watermark/2/text/aHR0cDovL2Jsb2cuY3Nkbi5uZXQvbGlrYWlkbHV0/font/5a6L5L2T/fontsize/400/fill/I0JBQkFCMA==/dissolve/70/gravity/SouthEast)
![](http://img.blog.csdn.net/20131231142206546?watermark/2/text/aHR0cDovL2Jsb2cuY3Nkbi5uZXQvbGlrYWlkbHV0/font/5a6L5L2T/fontsize/400/fill/I0JBQkFCMA==/dissolve/70/gravity/SouthEast)
Importance Sampling正确的原因也很简单
![](http://img.blog.csdn.net/20131231141609281?watermark/2/text/aHR0cDovL2Jsb2cuY3Nkbi5uZXQvbGlrYWlkbHV0/font/5a6L5L2T/fontsize/400/fill/I0JBQkFCMA==/dissolve/70/gravity/SouthEast)
Chain Monte Carlo(MCMC)方法。
其中方差最小也就是求UMVUE,然后通过Jensen's inequality可以得到p(x)=c|fai(x)|。
Importance Sampling正确的原因也很简单
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