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Markov chain Monte Carlo : ウィキペディア英語版
Markov chain Monte Carlo

In statistics, Markov chain Monte Carlo (MCMC) methods are a class of algorithms for sampling from a probability distribution based on constructing a Markov chain that has the desired distribution as its equilibrium distribution. The state of the chain after a number of steps is then used as a sample of the desired distribution. The quality of the sample improves as a function of the number of steps.
Random walk Monte Carlo methods make up a large subclass of MCMC methods.
== 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.〔See Gill 2008.〕〔See Robert & Casella 2004.〕
* In Bayesian statistics, the recent development of MCMC methods has been a key step in making it possible to compute large hierarchical models that require integrations over hundreds or even thousands of unknown parameters.
* They are also used for generating samples that gradually populate the rare failure region in rare event sampling.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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