General hit-and-run Monte Carlo sampling for evaluating multidimensional integrals

DOI10.1016/0167-6377(96)00030-2zbMATH Open0912.65011OpenAlexW1996681199MaRDI QIDQ1360109FDOQ1360109

Ming-Hui Chen, Bruce W. Schmeiser

Publication date: 18 May 1999

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6377(96)00030-2

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zbMATH Keywords

Markov chainMonte Carlo samplingconvergenceBayesian posterior distributionshigh-dimensional integralunbounded integrandsunbounded regions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Cites Work

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• Markov chains for exploring posterior distributions. (With discussion)
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• Sampling-Based Approaches to Calculating Marginal Densities
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• Monte Carlo sampling methods using Markov chains and their applications
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Equation of State Calculations by Fast Computing Machines
• General Irreducible Markov Chains and Non-Negative Operators
• Applications of a Method for the Efficient Computation of Posterior Distributions
• Optimum Monte-Carlo sampling using Markov chains
• General hit-and-run Monte Carlo sampling for evaluating multidimensional integrals
• Direction choice for accelerated convergence in hit-and-run sampling
• Hit-and-Run Algorithms for Generating Multivariate Distributions
• Title not available (Why is that?)

Cited In (16)

• Parallel and interacting stochastic approximation annealing algorithms for global optimisation
• Reference priors for linear models with general covariance structures
• Bayesian analysis of partially linear, single-index, spatial autoregressive models
• A Bayesian multidimensional scaling procedure for the spatial analysis of revealed choice data
• Exploring stochasticity and imprecise knowledge based on linear inequality constraints
• A Bayesian multivariate partially linear single-index probit model for ordinal responses
• A Bayesian approach to the spatial representation of market structure from consumer choice data
• Simulated Stochastic Approximation Annealing for Global Optimization With a Square-Root Cooling Schedule
• A Generalization of the Method of Correlated Sampling for Numerical Integration
• A cluster-sample approach for Monte Carlo integration using multiple samplers
• General hit-and-run Monte Carlo sampling for evaluating multidimensional integrals
• An objective stepwise Bayes approach to small area estimation
• Approximate weighted model integration on DNF structures
• Latent single-index models for ordinal data
• A Bayesian approach to continuous type principal-agent problems
• Slow convergence of the Gibbs sampler

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