Gibbs sampling

E260029

Gibbs sampling is a Markov chain Monte Carlo algorithm that generates samples from complex multivariate probability distributions by iteratively sampling each variable from its conditional distribution given the others.

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Gibbs sampling canonical 5

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Predicate Object
instanceOf Markov chain Monte Carlo algorithm
sampling algorithm
stochastic simulation method
appliesTo continuous variables
discrete variables
mixed discrete–continuous models
basedOn Markov processes
surface form: Markov chain theory

conditional probability distributions
convergesTo target joint distribution under regularity conditions
hasAdvantage no need to tune proposal distributions
simple to implement when conditionals are standard distributions
hasLimitation can mix slowly when variables are highly correlated
may get stuck in local modes for multimodal distributions
hasProperty a special case of the Metropolis–Hastings algorithm
asymptotically exact
component-wise updating
coordinate-wise updating
ergodic under suitable conditions
iterative
produces correlated samples
requires ability to sample from full conditional distributions
requires burn-in period
requires convergence diagnostics
reversible with respect to the target distribution
stochastic
hasPurpose to approximate expectations under a target distribution
to approximate posterior distributions
to generate samples from complex multivariate probability distributions
to perform Bayesian inference
hasStep discard initial burn-in samples
initialize all variables
iterate the sampling steps to form a Markov chain
sample each variable from its conditional distribution given current values of other variables
use remaining samples to approximate the target distribution
namedAfter Josiah Willard Gibbs
relatedTo Hamiltonian Monte Carlo
Metropolis algorithm
surface form: Metropolis–Hastings algorithm

blocked Gibbs sampling
collapsed Gibbs sampling
slice sampling
requires full conditional distributions of all variables
satisfies detailed balance with respect to the target distribution
usedIn Bayesian linear regression
Bayesian logistic regression
Bayesian networks
Bayesian inference
surface form: Bayesian statistics

Gaussian mixture models
Latent Dirichlet Allocation
Markov random fields
computational biology
data augmentation methods
econometrics
graphical models
Hidden Markov Model
surface form: hidden Markov models

hierarchical Bayesian models
image processing
machine learning
missing data imputation
psychometrics
spatial statistics
topic models

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Referenced by (5)

Full triples — surface form annotated when it differs from this entity's canonical label.

Markov chain Monte Carlo hasMethod Gibbs sampling
Metropolis algorithm relatedTo Gibbs sampling
Markov random fields inferenceMethodsInclude Gibbs sampling
subject surface form: Markov random field
detailed balance principle usedIn Gibbs sampling