Exploring the common concepts of adaptive MCMC and Covariance Matrix Adaptation schemes.
Christian L. MüllerPublished in: Theory of Evolutionary Algorithms (2010)
Keyphrases
- covariance matrix
- covariance matrices
- sample size
- positive definite
- gaussian mixture
- mahalanobis distance
- principal component analysis
- geometrical interpretation
- eigenvalues and eigenvectors
- pseudo inverse
- multivariate gaussian
- markov chain monte carlo
- class conditional densities
- estimation error
- monte carlo
- bayesian networks
- transformation matrix
- markov chain
- computational complexity
- symmetric matrix
- genetic algorithm