Stochastic Simulation: Theory of Markov Chains

In course

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Description

This lecture covers the theory of Markov chains, focusing on reversible chains, detailed balance, and the Metropolis-Hastings algorithm. It explains convergence to various distributions and the concept of an invariant distribution. The instructor discusses the properties of Markov chains and their applications in stochastic simulation.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_htj5ry07

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Ontological neighbourhood

Mathematics

Algebra: Linear algebra

Logic

Classical logic: First-order logic

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