Chapter 19

A Tutorial Introduction to Monte Carlo Methods, Markov Chain Monte Carlo and Particle Filtering

A. Taylan Cemgil,    Department of Computer Engineering, Boğaziçi University 34342 Bebek, Istanbul, Turkey, taylan.cemgil@boun.edu.tr

Abstract

Monte Carlo (method) (MC) is an umbrella name for an arsenal of numerical techniques for computing approximate estimates via random sampling. In this tutorial introduction, we sketch the basic techniques and the principles of Monte Carlo computation. After the illustration of the law of large numbers and central limit theorem, we cover basic Monte Carlo methods for sampling from elementary distributions: inversion, transform and rejection techniques. Then, we introduce Markov Chain Monte Carlo (MCMC) ...

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