Reversible algorithm of simulating multivariate densities with multi-hump
To simulate a multivariate density with multi-hump, Markov chain Monte Carlo method encounters the obstacle of escaping from one hump to another, since it usually takes extraordinately long time and then becomes practically impossible to perform. To overcome these difficulties, a reversible scheme t...
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| Veröffentlicht in: | Science China. Mathematics 2001-03, Vol.44 (3), p.357-364 |
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| container_end_page | 364 |
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| container_issue | 3 |
| container_start_page | 357 |
| container_title | Science China. Mathematics |
| container_volume | 44 |
| creator | Gong, Guanglu Qian, Minping Xie, Jun |
| description | To simulate a multivariate density with multi-hump, Markov chain Monte Carlo method encounters the obstacle of escaping from one hump to another, since it usually takes extraordinately long time and then becomes practically impossible to perform. To overcome these difficulties, a reversible scheme to generate a Markov chain, in terms of which the simulated density may be successful in rather general cases of practically avoiding being trapped in local humps, was suggested. |
| doi_str_mv | 10.1007/BF02878717 |
| format | Article |
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| identifier | ISSN: 1006-9283 |
| ispartof | Science China. Mathematics, 2001-03, Vol.44 (3), p.357-364 |
| issn | 1006-9283 1674-7283 1862-2763 1869-1862 |
| language | eng |
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| source | Alma/SFX Local Collection; SpringerLink Journals - AutoHoldings |
| subjects | Algorithms Computer simulation Density Markov chains Monte Carlo simulation Multivariate analysis |
| title | Reversible algorithm of simulating multivariate densities with multi-hump |
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