A quasi-Monte Carlo Metropolis algorithm | Zendy

Art B. Owen | Zendy; Seth D. Tribble | Zendy

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A quasi-Monte Carlo Metropolis algorithm

Author(s) -

Art B. Owen,

Seth D. Tribble

Publication year - 2005

Publication title -

proceedings of the national academy of sciences

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 5.011

H-Index - 771

eISSN - 1091-6490

pISSN - 0027-8424

DOI - 10.1073/pnas.0409596102

Subject(s) - metropolis–hastings algorithm , monte carlo method , rejection sampling , markov chain monte carlo , algorithm , hybrid monte carlo , sampling (signal processing) , quasi monte carlo method , computer science , monte carlo method in statistical physics , monte carlo algorithm , monte carlo integration , statistical physics , mathematics , statistics , physics , filter (signal processing) , computer vision

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.

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