# Markov Chain Monte Carlo

Learn about the Markov chain Monte Carlo (MCMC) method in detail.

## What is the Markov chain Monte Carlo (MCMC) method

A technique that is commonly mentioned and used in machine learning papers is the **Markov chain Monte Carlo $\text{(MCMC)}$** method. We will introduce the idea behind this technique with an example of generating random variables from an arbitrary density function.

### Generating random numbers from an arbitrary function

While many computer programs include methods to generate random numbers from a handful of well-defined density functions, we sometimes need a way to sample from density functions that are not already defined in a computer library. Let’s say we have a density function of the following form:

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