A Geometric Interpretation of the Metropolis-Hastings Algorithm
Statistical SciencePublished 1 November 2001Open access
Louis J. Billera, Persi Diaconis
Citations68
SJR quartileQ1
SJR score1.67
SNIP2.24
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TL;DR
The Metropolis-Hastings algorithm transforms a given stochastic matrix into a reversible stochastics matrix with a prescribed stationary distribution and gives the min- imum distance solution in an L 1 metric.
Abstract
The Metropolis–Hastings algorithm transforms a given\nstochastic matrix into a reversible stochastic matrix with a prescribed\nstationary distribution. We show that this transformation gives the minimum\ndistance solution in an $L^1$ metric.
Keywords
Computer ScienceMathematics
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