Sampling unnormalized probabilities: an alternative to the Metropolis-Hastings algorithm

DOI10.1137/130922549MaRDI QIDQ2874992zbMATH OpenOpenAlexFDO

Authors Stephen G. Walker

Publication date 13 August 2014

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/130922549

zbMATH Keywords

Metropolis-Hastings algorithmMarkov chain Monte Carlo methodgraphical examplesdetailed balanceunnormalized probabilities

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(8)

• A Monte Carlo Metropolis-Hastings algorithm for sampling from distributions with intractable normalizing constants
• Understanding the Hastings algorithm
• Algorithm 668
• Note on the Sampling Distribution for the Metropolis-Hastings Algorithm
• A latent slice sampling algorithm
• Augmented simulation methods for discrete stochastic optimization with recourse
• Latent uniform samplers on multivariate binary spaces
• Not every Gibbs sampler is a special case of the Metropolis–Hastings algorithm

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