The evolution of Markov chain Monte Carlo methods

DOI10.4169/000298910X485923MaRDI QIDQ3060168zbMATH OpenOpenAlexWikidataFDO

Authors Matthew P. Richey

Publication date 1 December 2010

Published in The American Mathematical Monthly (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4169/000298910x485923

zbMATH Keywords

simulated annealingBayesian statisticsMetropolis-Hastings algorithmGibbs samplingposterior distributioncomplex dynamic systems

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Applications of statistics (62P99) Applications of statistics to physics (62P35) Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics (82B20) Statistical mechanics of random media, disordered materials (including liquid crystals and spin glasses) (82D30)

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Cited in

(15)

• Parameter estimation for a chaotic dynamical system with partial observations
• Sampling and Statistical Physics via Symmetry
• Potential induced random teleportation on finite graphs
• Foreword. On sequential Monte Carlo: an overview
• A new efficient parameter estimation algorithm for high-dimensional complex nonlinear turbulent dynamical systems with partial observations
• The Convergence of Markov Chain Monte Carlo Methods: From the Metropolis Method to Hamiltonian Monte Carlo
• Learning nonlinear turbulent dynamics from partial observations via analytically solvable conditional statistics
• Enhancing mortgage rate prediction: a comprehensive evaluation of computational statistical approaches
• Some things we've learned (about Markov chain Monte Carlo)
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• Sampling Algorithms for Discrete Markov Random Fields and Related Graphical Models
• Contact Hamiltonian systems for probability distribution functions and expectation variables: a study based on a class of master equations
• Introduction to special issue on Monte Carlo methods in statistics
• A short history of Markov chain Monte Carlo: Subjective recollections from incomplete data
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