Lecture

Optimization and Simulation

Description

This lecture covers the Metropolis-Hastings algorithm, a method for simulating a random variable with a given probability mass function efficiently. It introduces the concept of transition probabilities, time reversibility, and the stationary distribution of a Markov process.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_35pkmqe3

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

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