Augmented Markov Chain Monte Carlo Simulation for Two-Stage Stochastic Programs with Recourse

Augmented Markov Chain Monte Carlo Simulation for Two-Stage Stochastic Programs with Recourse

In this paper, we develop a simulation-based approach for two-stage stochastic programs with recourse. We construct an augmented probability model with stochastic shocks and decision variables. Simulating from the augmented probability model solves for the expected recourse function and the optimal first-stage decision. Markov chain Monte Carlo methods, together with ergodic averaging, provide ...

Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference

In this age of modern era, the use of internet must be maximized. Yeah, internet will help us very much not only for important thing but also for daily activities. Many people now, from any level can use internet. The sources of internet connection can also be enjoyed in many places. As one of the benefits is to get the on-line markov chain monte carlo stochastic simulation for bayesian inferen...

Markov Chain Monte Carlo Simulation Made Simple

Markov Chain Monte Carlo

Markov chain Monte Carlo is an umbrella term for algorithms that use Markov chains to sample from a given probability distribution. This paper is a brief examination of Markov chain Monte Carlo and its usage. We begin by discussing Markov chains and the ergodicity, convergence, and reversibility thereof before proceeding to a short overview of Markov chain Monte Carlo and the use of mixing time...

Markov Chain Monte Carlo

This paper gives a brief introduction to Markov Chain Monte Carlo methods, which offer a general framework for calculating difficult integrals. We start with the basic theory of Markov chains and build up to a theorem that characterizes convergent chains. We then discuss the MetropolisHastings algorithm.