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Mcmc- Based Optimization And Application, Xiaobin Wu

Electronic Theses and Dissertations

In the thesis, we study the theory of Markov Chain Monte Carlo (MCMC) and its application in statistical optimization. The MCMC method is a class of evolutionary algorithms for generating samples from given probability distributions. In the thesis, we first focus on the methods of slice sampling and simulated annealing. While slice sampling has a merit to generate samples based on the underlying distribution with adjustable step size, simulated annealing can facilitate samples to jump out of local optima and converge quickly to the global optimum. With this MCMC method, we then solve two practical optimization problems. The first problem …