Iterative and Non-iterative Simulation Algorithms

The Gibbs sampler, Metropolis’ algorithm, and similar iterative simulation methods are related to rejection sampling and importance sampling, two methods which have been traditionally thought of as non-iterative. We explore connections between importance sampling, iterative simulation, and importance-weighted resampling (SIR), and present new algorithms that combine aspects of importance sampling, Metropolis’ algorithm, and the Gibbs sampler.

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