Markov Chain Monte Carlo

What is the Markov chain Monte Carlo (MCMC) method

A technique that is commonly mentioned and used in machine learning papers is the Markov chain Monte Carlo $\text{(MCMC)}$ method. We will introduce the idea behind this technique with an example of generating random variables from an arbitrary density function.

Generating random numbers from an arbitrary function

While many computer programs include methods to generate random numbers from a handful of well-defined density functions, we sometimes need a way to sample from density functions that are not already defined in a computer library. Let’s say we have a density function of the following form: