3 ms·
If your goal is optimization then MH is a bad choice. This is fine since MH is simply not an optimization algorithm! It's design to make accurate samples from a
by tel 11y ago
If your goal is optimization then MH is a bad choice. This is fine since MH is simply not an optimization algorithm! It's design to make accurate samples from a posterior distribution which you can measure but not find a functional form for.
It's a vastly more challenging problem than mere optimization.