Metropolis Algorithm 1.
Prescribes transition probabilities to satisfy detailed balance, given desired limiting distribution
Recipe: From a state i…
- with probability tij, choose a trial state j for the move (note: tij = tji)
- if pj > pi, accept j as the new state
- otherwise, accept state j with probability pj/pi
generate a random number R on (0,1); accept if R < pj/pi
- if not accepting j as the new state, take the present state as the next one in the Markov chain
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Metropolis, Rosenbluth, Rosenbluth, Teller and Teller, J. Chem. Phys., 21 1087 (1953)