Algorithms (F2008)

Notes and reading material from today’s lecture are linked here. In addition, here’s some research by Adam Teichert (thanks Adam !) on the origin of the Metropolis-Hastings algorithm:

After looking at Wikipedia for a refresher (and doing a bit of other searching), it looks like some people do refer to the Metropolis-Hastings algorithm as just the Metropolis algorithm, however some people (at least) make a distinction between the two:

Wikipedia says, “The original Metropolis algorithm calls for the proposal density to be symmetric ( Q(x;y) = Q(y;x) ); the generalization by Hastings lifts this restriction.”

This pdf describes the difference between implementing Metropolis and Metropolis-Hastings in R:
http://nitro.biosci.arizona.edu/courses/EEB581-2006/IntroR/Metropolis.pdf

Finally, I noticed that the notes in the book say that the simulated annealing was based on the 1953 work of Metropolis et al. Wikipedia tells us that Hastings generalized the Metropolis algorithm
in 1970. (http://probability.ca/hastings/).

This entry was posted on Monday, December 1st, 2008 at 4:19 pm and is filed under lectures, news.