دانلود کتاب MCMC از ابتدا – مقدمه ای عملی بر زنجیره مارکوف مونت کارلو

In this book, we will learn about the Markov Chain Monte Carlo (MCMC) methods. MCMC is a powerful framework that is useful when we want to integrate a complicated function or want to handle a complicated probability distribution. Historically, it has been a popular tool in physics, which is the authors’ main research field. Recently, it became a common tool in statistics as well, and also in the fields where statistical methods are important, for example, machine learning and finance. MCMC is not difficult at all, rather it is a simple technique based on a very natural idea. Of course, it is a huge mistake if you think a simple technique can be applied to only easy problems. Rather, a simple technique can have a variety of applications. Indeed, many problems in various fields such as quantum physics, Bayesian statistics, and combinatorial optimization reduce to the calculation of probability and expectation values that can be solved via MCMC. Therefore, if you have some basic knowledge of MCMC, you can write simulation code by yourself whenever you come up with a problem, regardless of the field of your interest. You can also understand a complicated simulation code somebody wrote for you.