The Metropolis—Hastings Algorithm

Abstract

It was shown in Chapter 3 that it is not necessary to use a sample from the distribution f to approximate the integral

$$ \int {h(x)f(x)dx,} $$

since importance sampling techniques can be used.

“What’s changed, except what needed changing?” And there was something in that, Cadfael reflected. What was changed was the replacement of falsity by truth…

—Ellis Peter, The Confession of Brother Haluin