Difficulties in the use of auxiliary variables in Markov chain Monte Carlo methods

@article{Hurn1997DifficultiesIT,
  title={Difficulties in the use of auxiliary variables in Markov chain Monte Carlo methods},
  author={Merrilee Hurn},
  journal={Statistics and Computing},
  year={1997},
  volume={7},
  pages={35-44}
}
Markov chain Monte Carlo (MCMC) methods are now widely used in a diverse range of application areas to tackle previously intractable problems. Dicult questions remain, however, in designing MCMC samplers for problems exhibiting severe multimodality where standard methods may exhibit prohibitively slow movement around the state space. Auxiliary variable methods, sometimes together with multigrid ideas, have been proposed as one possible way forward. Initial disappointing experiments have led to… CONTINUE READING