Monte Carlo Methods
published: Oct. 12, 2011, recorded: September 2011, views: 18009
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We will first review the Monte Carlo principle and standard Monte Carlo methods including rejection sampling, importance sampling and standard Markov chain Monte Carlo (MCMC) methods. We will then discuss more advanced MCMC methods such as adaptive MCMC methods and auxiliary variable methods such as parallel tempering, particle MCMC methods and slice sampling.
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