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Coupling From The Past
Among Markov chain Monte Carlo (MCMC) algorithms, coupling from the past is a method for sampling from the stationary distribution of a Markov chain. Contrary to many MCMC algorithms, coupling from the past gives in principle a perfect sample from the stationary distribution. It was invented by James Propp and David Wilson in 1996. The basic idea Consider a finite state irreducible aperiodic Markov chain M with state space S and (unique) stationary distribution \pi (\pi is a probability vector). Suppose that we come up with a probability distribution \mu on the set of maps f:S\to S with the property that for every fixed s\in S, its image f(s) is distributed according to the transition probability of M from state s. An example of such a probability distribution is the one where f(s) is independent from f(s') whenever s\ne s', but it is often worthwhile to consider other distributions. Now let f_j for j\in\mathbb Z be independent samples from \mu. Suppose that x is chosen randomly ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Markov Chain Monte Carlo
In statistics, Markov chain Monte Carlo (MCMC) methods comprise a class of algorithms for sampling from a probability distribution. By constructing a Markov chain that has the desired distribution as its equilibrium distribution, one can obtain a sample of the desired distribution by recording states from the chain. The more steps that are included, the more closely the distribution of the sample matches the actual desired distribution. Various algorithms exist for constructing chains, including the Metropolis–Hastings algorithm. Application domains MCMC methods are primarily used for calculating numerical approximations of multi-dimensional integrals, for example in Bayesian statistics, computational physics, computational biology and computational linguistics. In Bayesian statistics, the recent development of MCMC methods has made it possible to compute large hierarchical models that require integrations over hundreds to thousands of unknown parameters. In rare even ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Algorithms
In mathematics and computer science, an algorithm () is a finite sequence of rigorous instructions, typically used to solve a class of specific problems or to perform a computation. Algorithms are used as specifications for performing calculations and data processing. More advanced algorithms can perform automated deductions (referred to as automated reasoning) and use mathematical and logical tests to divert the code execution through various routes (referred to as automated decision-making). Using human characteristics as descriptors of machines in metaphorical ways was already practiced by Alan Turing with terms such as "memory", "search" and "stimulus". In contrast, a heuristic is an approach to problem solving that may not be fully specified or may not guarantee correct or optimal results, especially in problem domains where there is no well-defined correct or optimal result. As an effective method, an algorithm can be expressed within a finite amount of space and ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Sampling (statistics)
In statistics, quality assurance, and survey methodology, sampling is the selection of a subset (a statistical sample) of individuals from within a statistical population to estimate characteristics of the whole population. Statisticians attempt to collect samples that are representative of the population in question. Sampling has lower costs and faster data collection than measuring the entire population and can provide insights in cases where it is infeasible to measure an entire population. Each observation measures one or more properties (such as weight, location, colour or mass) of independent objects or individuals. In survey sampling, weights can be applied to the data to adjust for the sample design, particularly in stratified sampling. Results from probability theory and statistical theory are employed to guide the practice. In business and medical research, sampling is widely used for gathering information about a population. Acceptance sampling is used to determine if ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Markov Chain
A Markov chain or Markov process is a stochastic model describing a sequence of possible events in which the probability of each event depends only on the state attained in the previous event. Informally, this may be thought of as, "What happens next depends only on the state of affairs ''now''." A countably infinite sequence, in which the chain moves state at discrete time steps, gives a discrete-time Markov chain (DTMC). A continuous-time process is called a continuous-time Markov chain (CTMC). It is named after the Russian mathematician Andrey Markov. Markov chains have many applications as statistical models of real-world processes, such as studying cruise control systems in motor vehicles, queues or lines of customers arriving at an airport, currency exchange rates and animal population dynamics. Markov processes are the basis for general stochastic simulation methods known as Markov chain Monte Carlo, which are used for simulating sampling from complex probability dist ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Stationary Distribution
Stationary distribution may refer to: * A special distribution for a Markov chain such that if the chain starts with its stationary distribution, the marginal distribution of all states at any time will always be the stationary distribution. Assuming irreducibility, the stationary distribution is always unique if it exists, and its existence can be implied by positive recurrence of all states. The stationary distribution has the interpretation of the limiting distribution when the chain is irreducible and aperiodic. * The marginal distribution of a stationary process or stationary time series * The set of joint probability distributions of a stationary process or stationary time series In some fields of application, the term stable distribution is used for the equivalent of a stationary (marginal) distribution, although in probability and statistics the term has a rather different meaning: see stable distribution. Crudely stated, all of the above are specific cases of a common ge ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
James Propp
James Gary Propp is a professor of mathematics at the University of Massachusetts Lowell. Education and career In high school, Propp was one of the national winners of the United States of America Mathematical Olympiad (USAMO), and an alumnus of the Hampshire College Summer Studies in Mathematics. Propp obtained his AB in mathematics in 1982 at Harvard. After advanced study at Cambridge, he obtained his PhD from the University of California at Berkeley. He has held professorships at seven universities, including Harvard, MIT, the University of Wisconsin, and the University of Massachusetts Lowell. Mathematical research Propp is the co-editor of the book ''Microsurveys in Discrete Probability'' (1998) and has written more than fifty journal articles on game theory, combinatorics and probability, and recreational mathematics. He lectures extensively and has served on the Mathematical Olympiad Committee of the Mathematical Association of America, which sponsors the USAMO. In the e ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
David Bruce Wilson
David (; , "beloved one") (traditional spelling), , ''Dāwūd''; grc-koi, Δαυΐδ, Dauíd; la, Davidus, David; gez , ዳዊት, ''Dawit''; xcl, Դաւիթ, ''Dawitʿ''; cu, Давíдъ, ''Davidŭ''; possibly meaning "beloved one". was, according to the Hebrew Bible, the third king of the United Kingdom of Israel. In the Books of Samuel, he is described as a young shepherd and harpist who gains fame by slaying Goliath, a champion of the Philistines, in southern Canaan. David becomes a favourite of Saul, the first king of Israel; he also forges a notably close friendship with Jonathan, a son of Saul. However, under the paranoia that David is seeking to usurp the throne, Saul attempts to kill David, forcing the latter to go into hiding and effectively operate as a fugitive for several years. After Saul and Jonathan are both killed in battle against the Philistines, a 30-year-old David is anointed king over all of Israel and Judah. Following his rise to power, David co ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Independent (probability)
Independence is a fundamental notion in probability theory, as in statistics and the theory of stochastic processes. Two events are independent, statistically independent, or stochastically independent if, informally speaking, the occurrence of one does not affect the probability of occurrence of the other or, equivalently, does not affect the odds. Similarly, two random variables are independent if the realization of one does not affect the probability distribution of the other. When dealing with collections of more than two events, two notions of independence need to be distinguished. The events are called pairwise independent if any two events in the collection are independent of each other, while mutual independence (or collective independence) of events means, informally speaking, that each event is independent of any combination of other events in the collection. A similar notion exists for collections of random variables. Mutual independence implies pairwise independence, ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Singleton (mathematics)
In mathematics, a singleton, also known as a unit set or one-point set, is a set with exactly one element. For example, the set \ is a singleton whose single element is 0. Properties Within the framework of Zermelo–Fraenkel set theory, the axiom of regularity guarantees that no set is an element of itself. This implies that a singleton is necessarily distinct from the element it contains, thus 1 and are not the same thing, and the empty set is distinct from the set containing only the empty set. A set such as \ is a singleton as it contains a single element (which itself is a set, however, not a singleton). A set is a singleton if and only if its cardinality is . In von Neumann's set-theoretic construction of the natural numbers, the number 1 is ''defined'' as the singleton \. In axiomatic set theory, the existence of singletons is a consequence of the axiom of pairing: for any set ''A'', the axiom applied to ''A'' and ''A'' asserts the existence of \, which is the same a ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Cardinal Number
In mathematics, cardinal numbers, or cardinals for short, are a generalization of the natural numbers used to measure the cardinality (size) of sets. The cardinality of a finite set is a natural number: the number of elements in the set. The ''transfinite'' cardinal numbers, often denoted using the Hebrew symbol \aleph ( aleph) followed by a subscript, describe the sizes of infinite sets. Cardinality is defined in terms of bijective functions. Two sets have the same cardinality if, and only if, there is a one-to-one correspondence (bijection) between the elements of the two sets. In the case of finite sets, this agrees with the intuitive notion of size. In the case of infinite sets, the behavior is more complex. A fundamental theorem due to Georg Cantor shows that it is possible for infinite sets to have different cardinalities, and in particular the cardinality of the set of real numbers is greater than the cardinality of the set of natural numbers. It is also possible for ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Partially Ordered Set
In mathematics, especially order theory, a partially ordered set (also poset) formalizes and generalizes the intuitive concept of an ordering, sequencing, or arrangement of the elements of a Set (mathematics), set. A poset consists of a set together with a binary relation indicating that, for certain pairs of elements in the set, one of the elements precedes the other in the ordering. The relation itself is called a "partial order." The word ''partial'' in the names "partial order" and "partially ordered set" is used as an indication that not every pair of elements needs to be comparable. That is, there may be pairs of elements for which neither element precedes the other in the poset. Partial orders thus generalize total orders, in which every pair is comparable. Informal definition A partial order defines a notion of Comparability, comparison. Two elements ''x'' and ''y'' may stand in any of four mutually exclusive relationships to each other: either ''x'' ''y'', ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Monotone Function
In mathematics, a monotonic function (or monotone function) is a function between ordered sets that preserves or reverses the given order. This concept first arose in calculus, and was later generalized to the more abstract setting of order theory. In calculus and analysis In calculus, a function f defined on a subset of the real numbers with real values is called ''monotonic'' if and only if it is either entirely non-increasing, or entirely non-decreasing. That is, as per Fig. 1, a function that increases monotonically does not exclusively have to increase, it simply must not decrease. A function is called ''monotonically increasing'' (also ''increasing'' or ''non-decreasing'') if for all x and y such that x \leq y one has f\!\left(x\right) \leq f\!\left(y\right), so f preserves the order (see Figure 1). Likewise, a function is called ''monotonically decreasing'' (also ''decreasing'' or ''non-increasing'') if, whenever x \leq y, then f\!\left(x\right) \geq f\!\left(y\ri ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
