A quasi-Monte Carlo Metropolis algorithm

Proc Natl Acad Sci U S A. 2005 Jun 21;102(25):8844-9. doi: 10.1073/pnas.0409596102. Epub 2005 Jun 13.

Abstract

This work presents a version of the Metropolis-Hastings algorithm using quasi-Monte Carlo inputs. We prove that the method yields consistent estimates in some problems with finite state spaces and completely uniformly distributed inputs. In some numerical examples, the proposed method is much more accurate than ordinary Metropolis-Hastings sampling.

Publication types

  • Research Support, U.S. Gov't, Non-P.H.S.

MeSH terms

  • Algorithms*
  • Computing Methodologies
  • Markov Chains
  • Models, Statistical
  • Monte Carlo Method*