Markov Chains and Importance Sampling 2.

• Example (cont’d)

  • Method 2: let
  • then

• Algorithm and transition probabilities

  • given a point in the region R
  • generate a new point in the vicinity of given point
    xnew = x + r(-1,+1)dx ynew = y + r(-1,+1)dy
    
  • accept with probability
  • note
  • Method 1: accept all moves that stay in R
  • Method 2: if in R, accept with probability

Normalization constants cancel!

Previous slide

Next slide

Back to first slide

View graphic version