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The independent sampler

When there is no obvious choice for the transition kernel q, a possibility is to generate the proposal transition from a fixed distribution tex2html_wrap_inline556, independently of the current state z, i.e.:
equation132
The acceptance probability a of equation 16 becomes :
equation136

For example, in a Bayesian setting, tex2html_wrap_inline556 may be the prior distribution. If the target distribution writes tex2html_wrap_inline564, where L(y|z) is the likelihood of the state z given the observation y, the acceptance probability reduces to:
equation142
In other words, every transition is accepted if the proposed state is more likely than the current state, and if not is rejected with a probability which depends only upon the likelihood function.

  figure147
Figure 1: Transition in a bidimensional state space generated by an independent sampler. The target distribution tex2html_wrap_inline432 is represented as black level lines, the proposal transition kernel tex2html_wrap_inline574 in blue. The red transition is accepted (because tex2html_wrap_inline576), while the green one is likely to be rejected.

Figure 1 represents the transition of a Markov chain generated by an independent sampler.



Bob Fisher
Fri Jul 26 09:56:32 BST 2002