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

DOI10.1137/130922549zbMATH Open1296.65006OpenAlexW2010982255MaRDI QIDQ2874992FDOQ2874992

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)

Cited In (5)

• Algorithm 668
• 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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