A Short History of Markov Chain Monte Carlo: Subjective Recollections from Incomplete Data

摘要

We attempt to trace the history and development of Markov chain Monte Carlo(MCMC) from its early inception in the late 1940s through its use today. We seehow the earlier stages of Monte Carlo (MC, not MCMC) research have led to thealgorithms currently in use. More importantly, we see how the development ofthis methodology has not only changed our solutions to problems, but haschanged the way we think about problems.