Metropolis Algorithm

Created
Created
2022 Apr 3 15:50
Editor
Creator
Creator
Seonglae ChoSeonglae Cho
Edited
Edited
2025 Apr 29 1:52

Metropolis–Hastings algorithm (MH algorithm)

A flagship MCMC algorithm that uses proposal distribution with Monte Carlo sampling and filters based on Acceptance Criteria.
MH makes local changes to a current state. We use the proposal and the transition to define an ”acceptance ratio” :

Symmetric MH

Note that in the (popular) choice of Gaussian perturbations,
then the proposal is ”symmetric”
  1. sample a value from proposal
  1. if , then move to with certainity
  1. otherwise, move to with probability
 
 
 
 
 

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