Highly Influenced

# A guided walk Metropolis algorithm

@article{Gustafson1998AGW, title={A guided walk Metropolis algorithm}, author={Paul Gustafson}, journal={Statistics and Computing}, year={1998}, volume={8}, pages={357-364} }

- Published 1998 in Statistics and Computing
DOI:10.1023/A:1008880707168

The random walk Metropolis algorithm is a simple Markov chain Monte Carlo scheme which is frequently used in Bayesian statistical problems. We propose a guided walk Metropolis algorithm which suppresses some of the random walk behavior in the Markov chain. This alternative algorithm is no harder to implement than the random walk Metropolis algorithm, but empirical studies show that it performs better in terms of eciency and convergence time.