Maybe it is my communications background, it took me long time to really “understand” why we need MCMC. Consider a really simple inference problem of trying to recover state from data , in Bayesian inference, we try to compute the posterior distribution In all textbooks, it will just explain that the denominator is hard to…
I like to view Markov chain as simply state transition model. Let’s consider finite number of states to make thing simple. Time homogeneous: simply mean that the state transition matrix does not change over time Irreducible: I hate this term as I tend to forget what it really means. Model is irreducible if one can…
I usually remember what Frobenius norm is. That is, the sum of square of all elements in a matrix. And I sometimes remember what nuclear norm is. That is, the sum of singular values of a matrix. But I forgot what trace norm is when I came across it again today. Actually all of them…