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by constantlm 3739 days ago
This is so incredibly far over my head.
3 comments

it's not. set aside for a moment the prose description, find an MH module in your language of choice and study the code then play around w/ it in the REPL. A couple of things will probably surprise you when you look at an MCMC implementation (either MH or Gibbs): (i) very compact (eg, MH ~ 40 loc in python; 120 in scala; Gibbs ~10 lines in python, ~40 in scala); and (ii) the primary data structures are ones you probably use every day (eg, 2D array, which is used to represent the transition probabilities among the nodes comprising the graph that models the random walk). (A python/numpy implementation of MH: http://isaacslavitt.com/2013/12/30/metropolis-hastings-and-s...)
Yup, going to have to save this for later... I vaguely remember a Metropolis Light Transport from my college graphics course, which I assume uses similar sampling methodology
I came here to .. too late.
This could potentially help http://jeremykun.com/2015/04/06/markov-chain-monte-carlo-wit...

If you're unfamiliar with Bayes Theorem and Bayesian inference the earlier articles from the OP might help.

Also, John Kruschke's "Doing Bayesian Data Analysis", aka the "Puppy Book", is a gentle introduction to Bayesian inference. It is very readable, especially with regards MCMC.