Jethro's Braindump

Slice Sampling

Slice sampling has similarities to §gibbs_sampling, §rejection_sampling and the §metropolis_hastings method. The advantage over simple §metropolis_hastings methods is that it is robust to the choice of parameters. Like rejection sampling, it asymptotically draws samples from volume under the curve \(p^\star(x)\).

A good treatment of slice sampling can be found in Mackay’s Book Information Theory, Inference and Learning Algorithms.

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