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The easy part of the Bayesian approach is to
write down the
un-normalized distribution of the parameters
(Sect. 5.10), given the prior and the likelihood.
This is simply
.
The difficult task is to normalize this function and to calculate all
expectations in which we are interested, such as
expected values, variances, covariances
and other moments. We might also want to get marginal distributions,
credibility intervals (or hypervolumes) and so on.
As is well-known, if we were able to sample the posterior
(even the un-normalized one),
i.e. to generate points of the parameter space according to their probability,
we would have solved the problem, at least
approximately.
For example, the one-dimensional histogram of parameter
would represent its marginal and would allow the calculation of
,
and of
probability intervals (
in the previous formulae stand for arithmetic
averages of the MC sample).
Let us consider the probability function
of
the discrete variables
and a function
of which we want to evaluate the expectation over the distribution
. Extending the one-dimensional formula
of Tab. 1
to
dimension
we have
where the summation in Eq. (109) is over the components,
while the summation in Eq. (110) is over possible points
in the
-dimensional space of the variables.
The result is the same.
If we are able to sample a large number of points
according to the
probability function
, we expect
each point to be generated
times.
The average
, calculated from the sample as
(in which the index is named
as a reminder that this is a sum over
a `time' sequence) can also be rewritten as
just grouping together the outcomes giving the same
.
For a very large
, the ratios
are expected to be
`very close' to
(Bernoulli's theorem),
and thus
becomes a good approximation
of
. In fact, this approximation can be
good (within tolerable errors) even if not all
are large and, indeed,
even if many of them are null.
Moreover, the same procedure can be
extended to the continuum, in which case `all points' (
)
can never be sampled.
For simple distributions there are well-known standard techniques
for generating pseudo-random numbers starting from pseudo-random numbers
distributed
uniformly between 0 and 1
(computer libraries are available for sampling
points according to the most common
distributions).
We shall not enter into
these basic techniques, but will concentrate instead on
the calculation of expectations in more complicated cases.
Next: Rejection sampling
Up: Monte Carlo methods
Previous: Monte Carlo methods
Giulio D'Agostini
2003-05-13