Metropolis抽样方法的推广

本文从Metropolis抽样方法的一般形式出发,推广了热浴(Heat Bath)法,给出了相应的马尔科夫链的转移概率矩阵,证明了这种抽样方法的收敛性;并指出:热浴法只是本方法的一种特殊情况。初步计算表明,本法的收敛速度快于其它方法。推广到连续分布的情况也做了讨论。

GENERALIZATION OF METROPOLIS SAMPLING METHOD

With the general form of Metropolis sampling method, the heat bath method isgeneralized and its transition probability matrix of the Markov chain is given. Theconvergence of this method is proved. It is pointed out that heat bath method is onlya special case of this method. Preliminary calculations show that the convergence rateis better than that of other methods. The generalization is also discussed for the con-tinuous case.