An Introduction to MCMC for Machine L…. This purpose of this introductory paper is threefold. First, it introduces the Monte Carlo method with emphasis on probabilistic machine learning. Second, it reviews the main building blocks of modern Markov chain Monte Carlo simulation, thereby providing and introduction.
MCMC motivation MCMC techniques are often applied to solve integration and optimisation problems in large dimensional spaces. These two types of problem play a fundamental role in machine learning, physics, statistics, econometrics and decision analysis. The following are just some examples. 1. Bayesian inference and learning.