A New Technique for Sampling Multi-Modal Distributions

Details A New Technique for Sampling Multi-Modal Distributions A New Technique for Sampling Multi-Modal Distributions

1999-03-30

arxiv.org/abs/physics/9903044v1

Physics

Computational Physics

One ps figure; submitted to "Journal of Computational Physics"

Scientific paper

10.1006/jcph.1999.6343

In this paper we demonstrate that multi-modal Probability Distribution Functions (PDFs) may be efficiently sampled using an algorithm originally developed for numerical integrations by Monte-Carlo methods. This algorithm can be used to generate an input PDF which can be used as an independence sampler in a Metropolis-Hastings chain to sample otherwise troublesome distributions.Some examples in one two and five dimensions are worked out.

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