Understanding the Hastings algorithm. (English) Zbl 1316.65004
Summary: The Hastings algorithm is a key tool in computational science. While mathematically justified by detailed balance, it can be conceptually difficult to grasp. Here, we present two complementary and intuitive ways to derive and understand the algorithm. In our framework, it is straightforward to see that the celebrated Metropolis-Hastings algorithm has the highest acceptance probability of all Hastings algorithms.
MSC:
| 65C05 | Monte Carlo methods |
| 65C40 | Numerical analysis or methods applied to Markov chains |
| 60J22 | Computational methods in Markov chains |
Keywords:
Hastings algorithm; Markov chain Monte Carlo method; Metropolis-Hastings algorithm; simulationReferences:
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