Gibbs Sampling : Mathematics, Physics, Algorithm, Joint probability, Random variable, Integral, Metropolis-Hastings algorithm, Markov chain Monte Carlo

Language: English

Published by Omniscriptum, 2010

6132669841 / 9786132669841

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nach der Bestellung gedruckt Neuware - Printed after ordering - Please note that the content of this book primarily consists of articlesavailable from Wikipedia or other free sources online. In mathematicsand physics, Gibbs sampling or Gibbs sampler is an algorithm to generatea sequence of samples from the joint probability distribution of two ormore random variables. The purpose of such a sequence is to approximatethe joint distribution, or to compute an integral. Gibbs sampling is aspecial case of the Metropolis-Hastings algorithm, and thus an exampleof a Markov chain Monte Carlo algorithm. The algorithm is named afterthe physicist J. W. Gibbs, in reference to an analogy between thesampling algorithm and statistical physics. The algorithm was describedby brothers Stuart and Donald Geman in 1984, some eight decades afterthe passing of Gibbs. Gibbs sampling is applicable when the jointdistribution is not known explicitly, but the conditional distributionof each variable is known. The Gibbs sampling algorithm generates aninstance from the distribution of each variable in turn, conditional onthe current values of the other variables. It can be shown that thesequence of samples constitutes a Markov chain, and the stationarydistribution of that Markov chain is just the sought-after jointdistribution.…

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Title
Gibbs Sampling : Mathematics, Physics, Algorithm, Joint probability, Random variable, Integral, Metropolis-Hastings algorithm, Markov chain Monte Carlo
Author
Frederic P. Miller
Publisher
Omniscriptum
Publication year
2010
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
6132669841
ISBN 13
9786132669841
Item weight
238 grams
Dimensions
220x150x9 mm

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