An introduction to MCMC for machine learning. (English) Zbl 1033.68081

Andrieu, Christophe; de Freitas, Nando; Doucet, Arnaud; Jordan, Michael I.

Mach. Learn. 50, No. 1-2, 5-43 (2003).

Summary: This purpose of this introductory paper is threefold. First, it introduces the Monte Carlo method with emphasis on probabilistic machine learning. Second, it reviews the main building blocks of modern Markov chain Monte Carlo simulation, thereby providing and introduction to the remaining papers of this special issue. Lastly, it discusses new interesting research horizons.

MSC:

68T05

Learning and adaptive systems in artificial intelligence

Keywords:

Markov chain Monte Carlo; MCMC; sampling; stochastic algorithms

Software:

AIS-BN