On nonlinear Markov chain Monte Carlo
Let P(E) be the space of probability measures on a measurable space (E, ε). In this paper we introduce a class of nonlinear Markov chain Monte Carlo (MCMC) methods for simulating from a probability measure π ∈ P(E). Nonlinear Markov kernels (see [Feynman-Kac Formulae: Genealogical and Interacting Pa...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2011
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