Metropolis–Hastings algorithm: Difference between revisions

Revision as of 20:47, 18 May 2020

Revision as of 12:48, 19 May 2020

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## Set <math>t = 0</math>.

# Iterate

## ''Generate'' a random candidate state <math>x'</math> according to <math>g(x' \mid x_t)</math>.

## ''Calculate'' the acceptance probability <math>A(x', x_t) = \min\left(1, \frac{P(x')}{P(x_t)} \frac{g(x_t \mid x')}{g(x' \mid x_t)}\right)</math>;.

## ''Accept or reject'':

### generate a uniform random number <math>u \in [0, 1]</math>;