Metropolis–Hastings algorithm: Difference between revisions

Revision as of 22:27, 13 September 2019

Revision as of 06:18, 8 October 2019

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<math>\frac{A(x' , x)}{A(x , x')} = \frac{P(x')}{P(x)}\frac{g(x | x')}{g(x' | x)}</math> .

The next step in the derivation is to choose an acceptance ratio that fulfilsfulfills the condition above. One common choice is the Metropolis choice:

<math>A(x' , x) = \min\left(1,\frac{P(x')}{P(x)}\frac{g(x | x')}{g(x' | x)}\right)</math>