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A geometric interpretation of the Metropolis-Hastings algorithm. (English) Zbl 1127.60310

Summary: The Metropolis-Hastings algorithm transforms a given stochastic matrix into a reversible stochastic matrix with a prescribed stationary distribution. We show that this transformation gives the minimum distance solution in an \(L^1\) metric.

MSC:

60J10 Markov chains (discrete-time Markov processes on discrete state spaces)
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