Markov Chain Monte Carlo in Practice

Author: W.R. Gilks
Publisher: CRC Press
ISBN: 0412055511
Release Date: 1995-12-01
Genre: Mathematics

In a family study of breast cancer, epidemiologists in Southern California increase the power for detecting a gene-environment interaction. In Gambia, a study helps a vaccination program reduce the incidence of Hepatitis B carriage. Archaeologists in Austria place a Bronze Age site in its true temporal location on the calendar scale. And in France, researchers map a rare disease with relatively little variation. Each of these studies applied Markov chain Monte Carlo methods to produce more accurate and inclusive results. General state-space Markov chain theory has seen several developments that have made it both more accessible and more powerful to the general statistician. Markov Chain Monte Carlo in Practice introduces MCMC methods and their applications, providing some theoretical background as well. The authors are researchers who have made key contributions in the recent development of MCMC methodology and its application. Considering the broad audience, the editors emphasize practice rather than theory, keeping the technical content to a minimum. The examples range from the simplest application, Gibbs sampling, to more complex applications. The first chapter contains enough information to allow the reader to start applying MCMC in a basic way. The following chapters cover main issues, important concepts and results, techniques for implementing MCMC, improving its performance, assessing model adequacy, choosing between models, and applications and their domains. Markov Chain Monte Carlo in Practice is a thorough, clear introduction to the methodology and applications of this simple idea with enormous potential. It shows the importance of MCMC in real applications, such as archaeology, astronomy, biostatistics, genetics, epidemiology, and image analysis, and provides an excellent base for MCMC to be applied to other fields as well.

Handbook of Markov Chain Monte Carlo

Author: Steve Brooks
Publisher: CRC Press
ISBN: 9781420079425
Release Date: 2011-05-10
Genre: Mathematics

Since their popularization in the 1990s, Markov chain Monte Carlo (MCMC) methods have revolutionized statistical computing and have had an especially profound impact on the practice of Bayesian statistics. Furthermore, MCMC methods have enabled the development and use of intricate models in an astonishing array of disciplines as diverse as fisheries science and economics. The wide-ranging practical importance of MCMC has sparked an expansive and deep investigation into fundamental Markov chain theory. The Handbook of Markov Chain Monte Carlo provides a reference for the broad audience of developers and users of MCMC methodology interested in keeping up with cutting-edge theory and applications. The first half of the book covers MCMC foundations, methodology, and algorithms. The second half considers the use of MCMC in a variety of practical applications including in educational research, astrophysics, brain imaging, ecology, and sociology. The in-depth introductory section of the book allows graduate students and practicing scientists new to MCMC to become thoroughly acquainted with the basic theory, algorithms, and applications. The book supplies detailed examples and case studies of realistic scientific problems presenting the diversity of methods used by the wide-ranging MCMC community. Those familiar with MCMC methods will find this book a useful refresher of current theory and recent developments.

Markov Chain Monte Carlo

Author: Dani Gamerman
Publisher: CRC Press
ISBN: 1584885874
Release Date: 2006-05-10
Genre: Mathematics

While there have been few theoretical contributions on the Markov Chain Monte Carlo (MCMC) methods in the past decade, current understanding and application of MCMC to the solution of inference problems has increased by leaps and bounds. Incorporating changes in theory and highlighting new applications, Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference, Second Edition presents a concise, accessible, and comprehensive introduction to the methods of this valuable simulation technique. The second edition includes access to an internet site that provides the code, written in R and WinBUGS, used in many of the previously existing and new examples and exercises. More importantly, the self-explanatory nature of the codes will enable modification of the inputs to the codes and variation on many directions will be available for further exploration. Major changes from the previous edition: · More examples with discussion of computational details in chapters on Gibbs sampling and Metropolis-Hastings algorithms · Recent developments in MCMC, including reversible jump, slice sampling, bridge sampling, path sampling, multiple-try, and delayed rejection · Discussion of computation using both R and WinBUGS · Additional exercises and selected solutions within the text, with all data sets and software available for download from the Web · Sections on spatial models and model adequacy The self-contained text units make MCMC accessible to scientists in other disciplines as well as statisticians. The book will appeal to everyone working with MCMC techniques, especially research and graduate statisticians and biostatisticians, and scientists handling data and formulating models. The book has been substantially reinforced as a first reading of material on MCMC and, consequently, as a textbook for modern Bayesian computation and Bayesian inference courses.

Markov Chain Monte Carlo Simulations and Their Statistical Analysis

Author: Bernd A. Berg
Publisher: World Scientific
ISBN: 9812389350
Release Date: 2004
Genre: Science

This book teaches modern Markov chain Monte Carlo (MC) simulation techniques step by step. The material should be accessible to advanced undergraduate students and is suitable for a course. It ranges from elementary statistics concepts (the theory behind MC simulations), through conventional Metropolis and heat bath algorithms, autocorrelations and the analysis of the performance of MC algorithms, to advanced topics including the multicanonical approach, cluster algorithms and parallel computing. Therefore, it is also of interest to researchers in the field. The book relates the theory directly to Web-based computer code. This allows readers to get quickly started with their own simulations and to verify many numerical examples easily. The present code is in Fortran 77, for which compilers are freely available. The principles taught are important for users of other programming languages, like C or C++.

Image Analysis Random Fields and Markov Chain Monte Carlo Methods

Author: Gerhard Winkler
Publisher: Springer Science & Business Media
ISBN: 3540442138
Release Date: 2003-01
Genre: Computers

CD-ROM (version a 1.01) includes: software "AntsInFields", graphical user interfaces, an an educational, self explaining, and self contained library of living documents.--Intro. p. 5.

Advanced Markov Chain Monte Carlo Methods

Author: Faming Liang
Publisher: John Wiley & Sons
ISBN: 9780470669730
Release Date: 2010-06-24
Genre: Mathematics

Markov Chain Monte Carlo (MCMC) methods are now an indispensable tool in scientific computing. This book discusses recent developments of MCMC methods with an emphasis on those making use of past sample information during simulations. The application examples are drawn from diverse fields such as bioinformatics, machine learning, social science, combinatorial optimization, and computational physics. Key Features: Expanded coverage of the stochastic approximation Monte Carlo and dynamic weighting algorithms that are essentially immune to local trap problems. A detailed discussion of the Monte Carlo Metropolis-Hastings algorithm that can be used for sampling from distributions with intractable normalizing constants. Up-to-date accounts of recent developments of the Gibbs sampler. Comprehensive overviews of the population-based MCMC algorithms and the MCMC algorithms with adaptive proposals. This book can be used as a textbook or a reference book for a one-semester graduate course in statistics, computational biology, engineering, and computer sciences. Applied or theoretical researchers will also find this book beneficial.

Geometrically Constructed Markov Chain Monte Carlo Study of Quantum Spin phonon Complex Systems

Author: Hidemaro Suwa
Publisher: Springer Science & Business Media
ISBN: 9784431545170
Release Date: 2013-11-05
Genre: Science

In this thesis, novel Monte Carlo methods for precisely calculating the critical phenomena of the effectively frustrated quantum spin system are developed and applied to the critical phenomena of the spin-Peierls systems. Three significant methods are introduced for the first time: a new optimization algorithm of the Markov chain transition kernel based on the geometric weight-allocation approach, the extension of the worm (directed-loop) algorithm to nonconserved particles, and the combination with the level spectroscopy. Utilizing these methods, the phase diagram of the one-dimensional XXZ spin-Peierls system is elucidated. Furthermore, the multi-chain and two-dimensional spin-Peierls systems with interchain lattice interaction are investigated. The unbiased simulation shows that the interesting quantum phase transition between the 1D-like liquid phase and the macroscopically-degenerated dimer phase occurs on the fully-frustrated parameter line that separates the doubly-degenerated dimer phases in the two-dimensional phase diagram. The spin-phonon interaction in the spin-Peierls system introduces the spin frustration, which usually hinders the quantum Monte Carlo analysis, owing to the notorious negative sign problem. In this thesis, the author has succeeded in precisely calculating the critical phenomena of the effectively frustrated quantum spin system by means of the quantum Monte Carlo method without the negative sign.

Monte Carlo Statistical Methods

Author: Christian Robert
Publisher: Springer Science & Business Media
ISBN: 9781475741452
Release Date: 2013-03-14
Genre: Mathematics

We have sold 4300 copies worldwide of the first edition (1999). This new edition contains five completely new chapters covering new developments.

Simulation and Monte Carlo

Author: J. S. Dagpunar
Publisher: John Wiley & Sons
ISBN: 9780470061343
Release Date: 2007-04-04
Genre: Mathematics

Simulation and Monte Carlo is aimed at students studying for degrees in Mathematics, Statistics, Financial Mathematics, Operational Research, Computer Science, and allied subjects, who wish an up-to-date account of the theory and practice of Simulation. Its distinguishing features are in-depth accounts of the theory of Simulation, including the important topic of variance reduction techniques, together with illustrative applications in Financial Mathematics, Markov chain Monte Carlo, and Discrete Event Simulation. Each chapter contains a good selection of exercises and solutions with an accompanying appendix comprising a Maple worksheet containing simulation procedures. The worksheets can also be downloaded from the web site supporting the book. This encourages readers to adopt a hands-on approach in the effective design of simulation experiments. Arising from a course taught at Edinburgh University over several years, the book will also appeal to practitioners working in the finance industry, statistics and operations research.