An interacting multiple model algorithm with a switching Markov chain
نویسندگان
چکیده
منابع مشابه
Parallel and interacting Markov chain Monte Carlo algorithm
In many situations it is important to be able to propose N independent realizations of a given distribution law. We propose a strategy for making N parallel Monte Carlo Markov Chains (MCMC) interact in order to get an approximation of an independent N -sample of a given target law. In this method each individual chain proposes candidates for all other chains. We prove that the set of interactin...
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 1997
ISSN: 0895-7177
DOI: 10.1016/s0895-7177(96)00180-x