Thursday, November 28, 2013

14. Metropolis-Hastings Algorithm

Currently I'm working on my project that involves Monte Carlo Simulation.
The problem is: I'm not good at it.
I'm working at it for almost 2,3 months.
Probably I'm... stalling? because lazy is a strong word. =.=

One of the algorithms that I need to use is Metropolis-Hastings algorithm.
I found this picture when I wikipedia-ing the algorithm info.


The result of three Markov chains running on the 3D Rosenbrock function using the Metropolis-Hastings algorithm. The algorithm samples from regions where the posterior probability is high and the chains begin to mix in these regions. The approximate position of the maximum has been illuminated. Note that the red points are the ones that remain after the burn-in process. The earlier ones have been discarded. Source: Wikipedia

I don't know why.
But I think this is one of the most beautiful picture in the world.

Probably it looks like the knowledge of everything intertwine as ONE. Gorgeous~~

p/s: Suddenly I have a strong feeling to dig in more about this algorithm.

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