Optimum Monte-Carlo sampling using Markov chains
利用马尔可夫链的最优蒙特卡洛抽样
The sampling method proposed by Metropolis et al. (1953) requires the simulation of a Markov chain with a specified π as its stationary distribution. Hastings (1970) outlined a general procedure for constructing and simulating such a Markov chain. The matrix P of transition probabilities is constructed using a defined symmetric function sij and an arbitrary transition matrix Q. Here, for a given Q, the relative merits of the two simple choices for sij suggested by Hastings…