Markov chain Monte Carlo

E46140

Markov chain Monte Carlo is a class of algorithms that uses Markov chains to generate samples from complex probability distributions, widely used in Bayesian inference, statistical physics, and machine learning.

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Generate an image of Markov chain Monte Carlo (Markov chain Monte Carlo is a class of algorithms that uses Markov chains to generate samples from complex probability distributions, widely used in Bayesian inference, statistical physics, and machine learning.)

All labels observed (9)

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Statements (68)

Predicate Object
instanceOf Monte Carlo method
computational algorithm
sampling algorithm
stochastic simulation method
aimsTo generate samples from a target probability distribution
applicationDomain Bayesian inference
computational biology
econometrics
graphical models
machine learning
spatial statistics
statistical physics
basedOn Markov property
linked to: Markov processes

Monte Carlo integration
linked to: Monte Carlo method
canBe multiple-chain
single-chain
hasChallenge diagnosing convergence
multimodal target distributions
slow mixing in high dimensions
hasImprovement adaptive proposals
gradient-based proposals
parallel tempering
hasKeyConcept Markov chain state space
acceptance probability
autocorrelation
burn-in period
convergence diagnostics
detailed balance
ergodicity
mixing time
proposal distribution
stationary distribution
transition kernel
hasMethod Gibbs sampling
Hamiltonian Monte Carlo
Metropolis algorithm
Metropolis-adjusted Langevin algorithm
linked to: Langevin dynamics

Metropolis–Hastings algorithm
adaptive MCMC
blocked Gibbs sampling
independence sampler
random-walk Metropolis
reversible jump MCMC
slice sampling
originatedInField statistical physics
property asymptotically exact under regularity conditions
produces correlated samples
requires convergence to stationary distribution
relatedTo importance sampling
sequential Monte Carlo
variational inference
requires aperiodic Markov chain
irreducible Markov chain
positive recurrent Markov chain
typicallyTargets complex probability distributions
high-dimensional probability distributions
usedFor Bayesian model comparison
Boltzmann distribution sampling
Ising model simulation
approximating posterior distributions
estimating integrals
parameter estimation
simulating physical systems at equilibrium
uncertainty quantification
uses Markov chain
linked to: Markov processes
widelyUsedIn Bayesian statistics
deep generative modeling
probabilistic programming

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Referenced by (34)

Full triples — surface form annotated when it differs from this entity's canonical label.

Boltzmann machines hasSamplingMethod Markov chain Monte Carlo
Stanislaw Ulam notableWork Monte Carlo method
linked to: Markov chain Monte Carlo
Bayesian inference uses Markov chain Monte Carlo
Bayesian inference uses Metropolis-Hastings algorithm
linked to: Markov chain Monte Carlo
Bayesian inference uses Hamiltonian Monte Carlo
linked to: Markov chain Monte Carlo
Markov chain Monte Carlo hasMethod random-walk Metropolis
linked to: Markov chain Monte Carlo
Yee-Whye Teh researchInterest Markov chain Monte Carlo
Monte Carlo method includes Markov chain Monte Carlo
Nick Metropolis influenced Markov chain Monte Carlo methods
linked to: Markov chain Monte Carlo
Metropolis algorithm usedIn Markov chain Monte Carlo
subject linked to: Nick Metropolis
Bayesian networks inferenceAlgorithms Markov chain Monte Carlo
Bayesian linear regression canBeEstimatedBy Markov chain Monte Carlo
Markov random field inferenceMethodsInclude Markov chain Monte Carlo
subject linked to: Markov random fields
Dirichlet process models inferenceMethod Markov chain Monte Carlo
Radford M. Neal fieldOfWork Markov chain Monte Carlo
ergodic theorem usedIn Markov chain Monte Carlo
Martin-Quinn scores usesMethod Markov chain Monte Carlo
Mikko Tuomi usesMethod Markov chain Monte Carlo
subject linked to: Mikko Tuomi et al.
Bayesian model averaging canUseApproximation Markov chain Monte Carlo
Pitman–Yor process models implementedIn Markov chain Monte Carlo inference methods
linked to: Markov chain Monte Carlo
Bayesian learning for neural networks oftenUses Markov chain Monte Carlo
Bayesian nonparametrics usesConcept Markov chain Monte Carlo
Equation of State Calculations by Fast Computing Machines influenced Bayesian computation
linked to: Markov chain Monte Carlo
Augusta H. Teller fieldOfWork Markov chain Monte Carlo
Bayesian logistic regression inferenceMethod Markov chain Monte Carlo
leapfrog integrator usedFor Hybrid Monte Carlo
linked to: Markov chain Monte Carlo
leapfrog integrator typicalUseContext Markov chain Monte Carlo
Stan supportsMethod Markov chain Monte Carlo
NumPyro supports Markov chain Monte Carlo
Arianna W. Rosenbluth knownFor Markov chain Monte Carlo methods
linked to: Markov chain Monte Carlo
Arianna W. Rosenbluth areaOfInfluence Markov chain Monte Carlo