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Is 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.
by contravariant 3y ago
Is 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.