An introduction to the Random Walk Metropolis algorithm

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Finally, visuals for MCMC! Highly illuminating, thank you.

collincherubim

Finally found out why its called Monte Carlo. This is the best explanation of the algorithm I have ever seen. Thanks for this.

AmrutaOfAllTrades

This video is 10000x better than the equations in the class.

jiachengchen

Best explanation of MH on YouTube. Thank you!

vman

Thanks Ben. This is a really clear visual representation of what the algorithm is doing and how it works in principle. Excellent stuff!

johnedwardhills

I used this for my Bachelors thesis to simulate ultracold fermions in a harmonic trap, which was a replication of real expermients! Thank you for explaining, I had forgotten what it did...

MisterCactus

thank God there's a video about this

lemyul

Maybe a dumb question, but at 5:46 aren't you using the unknown distribution to calculate r? Isn't the black line on the graph the unknown distribution you are trying to estimate?

darcycordell

Great video. Way easier to understand than my uni lectures.

mikolajwojnicki

Don't gaps in the true distribution skew the samples to the borders of these gaps because the random walk is less likely to cross the gap, especially with a low sigma in the jumping distribution?

distrologic

I have a question. Suppose rather than having just one value theta, I have multiple values [A, B, C] in my state. Each variable can only have four values [0, 1, 2, 3]. How would I choose a new state from the previous one? Would I calculate a new value for each variable and call it a proposed state and then calculate the value for the complete system?

ahmedjunaidkhalid

Subscribed. Good voice, good explanations !!

FluxProGaming

I don't get where the likelihood term and the prior term come from. Here we assume they exist. What is an example of a practical application where we have these two terms but don't have the posterior?

siarez

Are the Mathematica programs you used in the video available? I particularly liked the last one where you showed a more complicated surface. I also just ordered your book, are there available with that?

Penrodyn

Metropolis 1927 illumination= moloch
Conspiracy of dunges = owl of minerva =satan

johannesluttmer

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