Concept序列马尔可夫链蒙特卡洛 / Sequential Markov Chain Monte Carlo

SMCMC

An extension of Markov chain Monte Carlo methods to sequential data, used for sampling from complex high-dimensional distributions; in high-dimensional spaces its mixing is slow, making it difficult to adequately explore tail regions.

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Oct 30

Traditional methods such as sequential Markov chain Monte Carlo (SMCMC) can generate diverse financial risk scenarios, but they explore high-risk regions inefficiently.

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Traditional methods such as sequential Markov chain Monte Carlo (SMCMC) can generate diverse financial risk scenarios, but they explore high-risk regions inefficiently.

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GFlowNets Generate Diverse Financial Tail Risk ScenariosOct 30