Lecture

Stochastic Simulation: Metropolis-Hastings Algorithm

In course

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Description

This lecture covers the Metropolis-Hastings algorithm for stochastic simulation, focusing on the acceptance rate, target measure, and proposal distribution. It explains the algorithm's steps, including generating samples and defining the acceptance rate. The lecture also discusses the convergence of the algorithm and the importance of the proposal distribution.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_p53t7btu

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