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arXiv · 1311.1899

Computation of expectations by Markov chain Monte Carlo methods

Erich Novak·Daniel Rudolf
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Abstract

Markov chain Monte Carlo (MCMC) methods are a very versatile and widely used tool to compute integrals and expectations. In this short survey we focus on error bounds, rules for choosing the burn in, high dimensional problems and tractability versus curse of dimension.

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Erich Novak, Daniel Rudolf. 2014-09-08. Computation of expectations by Markov chain Monte Carlo methods. https://doi.org/10.1007/978-3-319-08159-5_20

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