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Author: Masanori Hanada
Publisher: Springer Nature
ISBN: 9811927154
Category : Computers
Languages : en
Pages : 198
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Book Description
This textbook explains the fundamentals of Markov Chain Monte Carlo (MCMC) without assuming advanced knowledge of mathematics and programming. MCMC is a powerful technique that can be used to integrate complicated functions or to handle complicated probability distributions. MCMC is frequently used in diverse fields where statistical methods are important – e.g. Bayesian statistics, quantum physics, machine learning, computer science, computational biology, and mathematical economics. This book aims to equip readers with a sound understanding of MCMC and enable them to write simulation codes by themselves. The content consists of six chapters. Following Chap. 2, which introduces readers to the Monte Carlo algorithm and highlights the advantages of MCMC, Chap. 3 presents the general aspects of MCMC. Chap. 4 illustrates the essence of MCMC through the simple example of the Metropolis algorithm. In turn, Chap. 5 explains the HMC algorithm, Gibbs sampling algorithm and Metropolis-Hastings algorithm, discussing their pros, cons and pitfalls. Lastly, Chap. 6 presents several applications of MCMC. Including a wealth of examples and exercises with solutions, as well as sample codes and further math topics in the Appendix, this book offers a valuable asset for students and beginners in various fields.
Author: Masanori Hanada
Publisher: Springer Nature
ISBN: 9811927154
Category : Computers
Languages : en
Pages : 198
Get Book Here
Book Description
This textbook explains the fundamentals of Markov Chain Monte Carlo (MCMC) without assuming advanced knowledge of mathematics and programming. MCMC is a powerful technique that can be used to integrate complicated functions or to handle complicated probability distributions. MCMC is frequently used in diverse fields where statistical methods are important – e.g. Bayesian statistics, quantum physics, machine learning, computer science, computational biology, and mathematical economics. This book aims to equip readers with a sound understanding of MCMC and enable them to write simulation codes by themselves. The content consists of six chapters. Following Chap. 2, which introduces readers to the Monte Carlo algorithm and highlights the advantages of MCMC, Chap. 3 presents the general aspects of MCMC. Chap. 4 illustrates the essence of MCMC through the simple example of the Metropolis algorithm. In turn, Chap. 5 explains the HMC algorithm, Gibbs sampling algorithm and Metropolis-Hastings algorithm, discussing their pros, cons and pitfalls. Lastly, Chap. 6 presents several applications of MCMC. Including a wealth of examples and exercises with solutions, as well as sample codes and further math topics in the Appendix, this book offers a valuable asset for students and beginners in various fields.
Author: Ming-Hui Chen
Publisher: Springer Science & Business Media
ISBN: 1461212766
Category : Mathematics
Languages : en
Pages : 399
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Book Description
Dealing with methods for sampling from posterior distributions and how to compute posterior quantities of interest using Markov chain Monte Carlo (MCMC) samples, this book addresses such topics as improving simulation accuracy, marginal posterior density estimation, estimation of normalizing constants, constrained parameter problems, highest posterior density interval calculations, computation of posterior modes, and posterior computations for proportional hazards models and Dirichlet process models. The authors also discuss model comparisons, including both nested and non-nested models, marginal likelihood methods, ratios of normalizing constants, Bayes factors, the Savage-Dickey density ratio, Stochastic Search Variable Selection, Bayesian Model Averaging, the reverse jump algorithm, and model adequacy using predictive and latent residual approaches. The book presents an equal mixture of theory and applications involving real data, and is intended as a graduate textbook or a reference book for a one-semester course at the advanced masters or Ph.D. level. It will also serve as a useful reference for applied or theoretical researchers as well as practitioners.
Author: Christian P. Robert
Publisher: Springer Science & Business Media
ISBN: 1461217164
Category : Mathematics
Languages : en
Pages : 201
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Book Description
The exponential increase in the use of MCMC methods and the corre sponding applications in domains of even higher complexity have caused a growing concern about the available convergence assessment methods and the realization that some of these methods were not reliable enough for all-purpose analyses. Some researchers have mainly focussed on the con vergence to stationarity and the estimation of rates of convergence, in rela tion with the eigenvalues of the transition kernel. This monograph adopts a different perspective by developing (supposedly) practical devices to assess the mixing behaviour of the chain under study and, more particularly, it proposes methods based on finite (state space) Markov chains which are obtained either through a discretization of the original Markov chain or through a duality principle relating a continuous state space Markov chain to another finite Markov chain, as in missing data or latent variable models. The motivation for the choice of finite state spaces is that, although the resulting control is cruder, in the sense that it can often monitor con vergence for the discretized version alone, it is also much stricter than alternative methods, since the tools available for finite Markov chains are universal and the resulting transition matrix can be estimated more accu rately. Moreover, while some setups impose a fixed finite state space, other allow for possible refinements in the discretization level and for consecutive improvements in the convergence monitoring.
Author: Steve Brooks
Publisher: CRC Press
ISBN: 1420079425
Category : Mathematics
Languages : en
Pages : 620
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Book Description
Since their popularization in the 1990s, Markov chain Monte Carlo (MCMC) methods have revolutionized statistical computing and have had an especially profound impact on the practice of Bayesian statistics. Furthermore, MCMC methods have enabled the development and use of intricate models in an astonishing array of disciplines as diverse as fisherie
Author: Dani Gamerman
Publisher: CRC Press
ISBN: 9780412818202
Category : Mathematics
Languages : en
Pages : 264
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Book Description
Bridging the gap between research and application, Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference provides a concise, and integrated account of Markov chain Monte Carlo (MCMC) for performing Bayesian inference. This volume, which was developed from a short course taught by the author at a meeting of Brazilian statisticians and probabilists, retains the didactic character of the original course text. The self-contained text units make MCMC accessible to scientists in other disciplines as well as statisticians. It describes each component of the theory in detail and outlines related software, which is of particular benefit to applied scientists.
Author: Faming Liang
Publisher: John Wiley & Sons
ISBN: 1119956803
Category : Mathematics
Languages : en
Pages : 308
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Book Description
Markov Chain Monte Carlo (MCMC) methods are now an indispensable tool in scientific computing. This book discusses recent developments of MCMC methods with an emphasis on those making use of past sample information during simulations. The application examples are drawn from diverse fields such as bioinformatics, machine learning, social science, combinatorial optimization, and computational physics. Key Features: Expanded coverage of the stochastic approximation Monte Carlo and dynamic weighting algorithms that are essentially immune to local trap problems. A detailed discussion of the Monte Carlo Metropolis-Hastings algorithm that can be used for sampling from distributions with intractable normalizing constants. Up-to-date accounts of recent developments of the Gibbs sampler. Comprehensive overviews of the population-based MCMC algorithms and the MCMC algorithms with adaptive proposals. This book can be used as a textbook or a reference book for a one-semester graduate course in statistics, computational biology, engineering, and computer sciences. Applied or theoretical researchers will also find this book beneficial.
Author: Peter J. Green
Publisher:
ISBN: 9780198510550
Category : Mathematics
Languages : en
Pages : 536
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Book Description
Through this text, the author aims to make recent developments in the title subject (a modern strategy for the creation of statistical models to solve 'real world' problems) accessible to graduate students and researchers in the field of statistics.
Author: Thor I. Fossen
Publisher: John Wiley & Sons
ISBN: 1119998689
Category : Science
Languages : en
Pages : 596
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Book Description
The technology of hydrodynamic modeling and marine craft motion control systems has progressed greatly in recent years. This timely survey includes the latest tools for analysis and design of advanced guidance, navigation and control systems and presents new material on underwater vehicles and surface vessels. Each section presents numerous case studies and applications, providing a practical understanding of how model-based motion control systems are designed. Key features include: a three-part structure covering Modeling of Marine Craft; Guidance, Navigation and Control Systems; and Appendices, providing all the supporting theory in a single resource kinematics, kinetics, hydrostatics, seakeeping and maneuvering theory, and simulation models for marine craft and environmental forces guidance systems, sensor fusion and integrated navigation systems, inertial measurement units, Kalman filtering and nonlinear observer design for marine craft state-of-the-art methods for feedback control more advanced methods using nonlinear theory, enabling the user to compare linear design techniques before a final implementation is made. linear and nonlinear stability theory, and numerical methods companion website that hosts links to lecture notes and download information for the Marine Systems Simulator (MSS) which is an open source Matlab/Simulink® toolbox for marine systems. The MSS toolbox includes hydrodynamic models and motion control systems for ships, underwater vehicles and floating structures With an appropriate balance between mathematical theory and practical applications, academic and industrial researchers working in marine and control engineering aspects of manned and unmanned maritime vehicles will benefit from this comprehensive handbook. It is also suitable for final year undergraduates and postgraduates, lecturers, development officers, and practitioners in the areas of rigid-body modeling, hydrodynamics, simulation of marine craft, control and estimation theory, decision-support systems and sensor fusion. www.wiley.com/go/fossen_marine
Author: J. M. Bernardo
Publisher: Oxford University Press
ISBN: 9780198526155
Category : Mathematics
Languages : en
Pages : 1114
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Book Description
This volume contains the proceedings of the 7th Valencia International Meeting on Bayesian Statistics. This conference is held every four years and provides the main forum for researchers in the area of Bayesian statistics to come together to present and discuss frontier developments in the field.
Author: James C. Spall
Publisher: John Wiley & Sons
ISBN: 0471441902
Category : Mathematics
Languages : en
Pages : 620
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Book Description
* Unique in its survey of the range of topics. * Contains a strong, interdisciplinary format that will appeal to both students and researchers. * Features exercises and web links to software and data sets.
