Random-Walk Metropolis (MCMC) Java Applet

This is a simulation of the Random-Walk Metropolis MCMC algorithm. (Updated: see the new scalable version.)

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This applet runs a simple (random-walk) Metropolis MCMC algorithm on a simple target distribution (the blue bars) supported on just a few points (default=6). The black bars represent the chain's empirical distribution; over time, they should converge in height to the blue bars, thus illustrating convergence of the Metropolis algorithm to its target distribution.

The applet accepts the following keyboard inputs. (You may need to "click" on the applet first.)

Applet by Jeffrey S. Rosenthal (contact me).

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