3 ms·
Related, and known (at least empirically) for a while, Lévy flight sampling methods: https://en.wikipedia.org/wiki/L%C3%A9vy_flight https://en.wikipedia.org/wi
by uoaei 3y ago
Related, and known (at least empirically) for a while, Lévy flight sampling methods:
https://en.wikipedia.org/wiki/L%C3%A9vy_flight https://en.wikipedia.org/wiki/L%C3%A9vy_flight
- contravariant 3y agoIs that when you use a Lévy flight in some kind of MCMC algorithm, or is it something else? The wikipedia article doesn't say much about using it for sampling.
- uoaei 3y agoYes, essentially it is a random walk (i.e. Monte Carlo method, suitable for use in MCMC). The general principle/innovation is to use power-law or similarly heavy-tailed distributions for step lengths as opposed to constant, Gaussian, etc. step lengths for the purpose of exiting local minima.