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Markov chain Monte Carlo method,MCMC
释义
Markov chain Monte Carlo method,MCMC
Encyclopedia
理学
统计计算
释
Markov chain Monte Carlo method,MCMC
马尔可夫链蒙特卡罗方法
马尔可夫链蒙特卡罗方法是由N.梅特罗波利斯(N.Metropolis)于20世纪50年代基于马尔可夫链的基本性质提出,它是在贝叶斯理论框架下通过计算机进行模拟的一种方法。此方法是将马尔可夫过程引入蒙特卡罗模拟中,实现抽样分布随模拟的进行而改变,它可从任一状态出发,模拟马尔可夫过程,不断进行状态转移,最终收敛到平稳分布,实现在一个指定分布上的采样。
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