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Tutorial on Markov Chain Monte Carlo.pdf
Tutorial on
Markov Chain Monte Carlo
Kenneth M. Hanson
Los Alamos National Laboratory
Presented at the 29th International Workshop on Bayesian
Inference and Maximum Entropy Methods in Science and
Technology, Gif-sur-Yvette, France, July 8 – 13, 2000
This presentation available at /kmh/talks/
July, 2000 - Revised 14/05/08 Bayesian and MaxEnt Workshop 1
LA-UR-05-5680
Acknowledgements
• MCMC experts
– Julian Besag, Jim Guberantus, John Skilling, Malvin Kalos
• General discussions
– Greg Cunningham, Richard Silver
July, 2000 Bayesian and MaxEnt Workshop 2
Problem statement
• Parameter space of n dimensions represented by vector x
• Given an “arbitrary” target probability density function
(pdf), q(x), draw a set of samples {xk } from it
• Only requirement typically is that, given x, one be able to
evaluate Cq(x), where C is an unknown constant
– MCMC algorithms do not typically require knowledge of the
normalization constant of the target pdf; from now on the
multiplicative constant C will not be made explicit
• Although focus here is on continuous variables, MCMC
can be applied to discrete variables as well
July, 2000 Bayesian and MaxEnt Workshop 3
Uses of MCMC
• Permits evaluation of the expectation values of functions
of x, e.g.,
〈f (x)〉 = ∫f (x) q(x) dx ≅ (1/K) Σ f (x )
k k
2
– typical use is to calculate mean 〈x〉 and variance 〈(x - 〈x〉) 〉
• Also useful for evaluating integrals, such as the partition
function for
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