My Tryst With MCMC Algorithms

The things that I find hard to understand push me to my limits. One of the things that I have always found hard is Markov Chain Monte Carlo Methods. When I first encountered them, I read a lot about them but mostly it ended like this.

The meaning is normally hidden in deep layers of Mathematical noise and not easy to decipher. This blog post is intended to clear up the confusion around MCMC methods, Know what they are actually useful for and Get hands on with some applications.

So what really are MCMC Methods?

First of all we have to understand what are Monte Carlo Methods!!!

Monte Carlo methods derive their name from Monte Carlo Casino in Monaco. There are many card games that need probability of winning against the dealer. Sometimes calculating this probability can be mathematically complex or highly intractable. But we can always run a computer simulation to simulate the whole game many times and see the probability as the number of wins divided by the number of games played.

So that is…