Parallel computation [back]
We have now received reports back from JCGS for our parallel MCMC paper and they all are very nice and supportive! The reviewers essentially all like the Rao-Blackwellisation concept we developed in the paper and ask for additions towards a more concrete feeling for the practical consequences of the method. We should thus be able to manage a revision in the coming week or so. Especially because we have had further ideas about the extension of the method to regular Metropolis-Hastings algorithms like the random walk avatar. (The above picture is completely unrelated with the paper, but conveys some feeling of parallelism. I made it [in R] for the poster of the O’Bayes 03 meeting I organised in Aussois in 2003.)
Xi'an's Og 
March 15, 2011 at 12:13 am
[…] have now completed our revision of the parallel computation paper and hope to send it to JCGS within a few days. As seen on the […]
February 20, 2011 at 12:12 am
[…] Perron is visiting me for two months from Montréal and, following a discussion about the parallel implementation of MCMC algorithms—to which he also contributed with Yves Atchadé in 2005—, he remarked that a […]
February 18, 2011 at 11:13 am
[…] The Vanilla Rao–Blackwellization of Metropolis–Hastings algorithms paper with Randal Douc is now published in Annals of Statistics (Volume 39, Number 1 (2011), pages 261-277) and available on-line via the project Euclid. We are currently working with Pierre Jacob on an extension of this idea towards parallelisation… […]
February 13, 2011 at 11:40 am
Hello. I was wondering if you could publish the R code or C++ code that you used to write this parallel MCMC algorithm. I would really love to see how to implement this on some of my Bayesian problems in Political Science. Please let me know if the code is available.