A Short History of Markov Chain Monte Carlo: Subjective Recollections from Incomplete Data
Casella, George; Robert, Christian P. (2011), A Short History of Markov Chain Monte Carlo: Subjective Recollections from Incomplete Data, Statistical Science, 26, 1, p. 102-115. http://dx.doi.org/10.1214/10-STS351
TypeArticle accepté pour publication ou publié
External document linkhttp://hal.archives-ouvertes.fr/hal-00311793/en/
Journal nameStatistical Science
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Abstract (EN)In this note we attempt to trace the history and development of Markov chain Monte Carlo (MCMC) from its early inception in the late 1940's through its use today. We see how the earlier stages of the Monte Carlo (MC, not MCMC) research have led to the algorithms currently in use. More importantly, we see how the development of this methodology has not only changed our solutions to problems, but has changed the way we think about problems.
Subjects / KeywordsMetropolis-Hastings algorithm; simulation; Gibbs sampling; Monte Carlo
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