Implementation of Markov Chain Monte Carlo (MCMC) Algorithms: Metropolis-Hastings Algorithm and Gibbs Sampling
While learning about MCMC algorithms, I decided to code up and replicate some results to internalize my learning. All examples and ideas are referenced from the papers/blogs in the references below. If you find any typos or mistakes in my code, please let me know! I hope that this code will be useful for others who are also trying to learn about MCMC algorithms!
[1] http://twiecki.github.io/blog/2015/11/10/mcmc-sampling/
[2] https://arxiv.org/pdf/1504.01896.pdf
[3] http://www.mit.edu/~ilkery/papers/GibbsSampling.pdf
[4] https://theclevermachine.wordpress.com/2012/11/05/mcmc-the-gibbs-sampler/
[5] https://docs.google.com/viewer?a=v&pid=sites&srcid=ZGVmYXVsdGRvbWFpbnxiYXllc2VjdHxneDplNGY0MDljNDA5MGYxYTM
[6] http://fourier.eng.hmc.edu/e161/lectures/gaussianprocess/node7.html