Lecture

Metropolis Hastings Algorithm: Markov Chains and Transition Matrix

In course

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Description

This lecture covers the Metropolis Hastings algorithm, focusing on constructing a Markov chain with a proposal distribution. It explains the algorithm's steps, including defining the transition matrix, handling proposal distributions, and ensuring convergence. The lecture also discusses irreducibility, periodicity, and the diagonalizability of the transition matrix.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_hqq1byud

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Mathematics

Algebra: Linear algebra

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