Csc 2535 2011 Assignment 2
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چکیده
Problem One One of the critical properties of a valid Markov chain Monte Carlo transition operator is that it leave the target distribution invariant. That is, if the target distribution is fX(x), then the operator T (x ′ ← x) must satisfy fX(x ′) = ∫ fX(x)T (x ′ ← x) dx. A stronger property that is a sufficient condition for T (x′ ← x) to leave fX(x) invariant is detailed balance: fX(x ′)T (x← x′) = fX(x)T (x′ ← x). Prove that the Metropolis–Hastings algorithm satisfies detailed balance. (5 points)
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تاریخ انتشار 2011