Lecture 18: Combing multiple dependent random variables in a simulation; ordering the simulation to do the easy parts first. Markov chains as a particular example of doing the easy parts first. The Markov property. How to write a Markov chain simulator. Verifying that the simulator works by looking at conditional distributions. Variations on Markov models: hidden Markov models, interacting processes, continuous time, chains with complete connections. Asymptotics of Markov chains via linear algebra; the law of large numbers (ergodic theorem) for Markov chains: we can approximate expectations as soon as we can simulate.
The Monte Carlo principle for numerical integrals: write your integral as an expectation, take a sample. Examples. Importance sampling: draw from a distribution other than the one you really are want, then weight the sample values. Markov chain Monte Carlo for sampling from a distribution we do not completely know: the Metropolis algorithm. Bayesian inference via MCMC.
Posted at October 24, 2012 10:30 | permanent link