Inference V: MCMC Methods. Stochastic Sampling. In previous class, we examined methods that use independent samples to estimate P(X = x | e ) Problem: It is difficult to sample from P(X 1 , …. X n | e ) We had to use likelihood weighting to reweigh our samples
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Problem: It is difficult to sample from P(X1, …. Xn |e )
P(x1, …, xi-1, xi, xi+1 ,…, xn|e) =P(x1, …, xi-1, xi+1 ,…, xn|e)P(xi|x1, …, xi-1, xi+1 ,…, xn, e)
M samples from one chain