We consider the Random Walk Metropolis algorithm on ℝn with Gaussian proposals, and when the target probability measure is the n-fold product of a one-dimensional law. It is well known (see Roberts et ...
We propose new control variates for variance reduction in estimation of mean values using the Metropolis-Hastings algorithm. Traditionally, states that are rejected in the Metropolis-Hastings ...
Many of the selections are now familiar, finely tuned, heavily used tools. The Metropolis algorithm for Monte Carlo methods, the simplex method in linear programming, the Fast Fourier Transform for ...
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