Created
October 3, 2011 00:55
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Metropolis sampler pseudocode
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| x = initial() | |
| prob = target_dist(x) | |
| for i in range(steps): | |
| x_star = propose(x) | |
| prob_star = target_dist(x) | |
| if prob_star > prob or random() < prob_star / prob: | |
| x = x_star | |
| prob = prob_star |
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