Brief Summary

The Monte Carlo approach, combined with the theory for Markov chains can be summarized as follows: A Markov chain Monte Carlo method for the simulation of a distribution \( w \) is any method producing an ergodic Markov chain of events \( x \) whose stationary distribution is \( w \). The Metropolis algorithm can be phrased as

$$ \begin{equation*} x^{(i+1)}= \left\{\begin{array}{cc} y_t & \mathrm{with\hspace{0.1cm}probability} = A(x^{(i)}\rightarrow y_t) \\ x^{(i)} & \mathrm{with \hspace{0.1cm}probability} = 1-A(x^{(i)}\rightarrow y_t)\end{array}\right . \end{equation*} $$ $$ \begin{equation*} A(x\rightarrow y)= \mathrm{min}\left\{\frac{w(y)T(x|y)}{w(x)T(y|x)},1\right\}. \end{equation*} $$