Handbook of Markov chain Monte Carlo, second edition

Radu Caiu, Dootika Vats, Galin Jones, Steve Brooks, Xiao-Li Meng, and I edited the second edition of the Handbook of Markov chain Monte Carlo. Dootika set up a github page for the book, listing all the chapters and includes links to most of them in Arxiv form. (Chapter 4, “For how many iterations should we run Markov chain Monte Carlo?”, is by Charles Margossian and me.) For some reason, a few of the chapters are not yet on Arxiv but I guess they’ll get there soon. I recommend the whole book, but especially chapter 24, “Running Markov chain Monte Carlo on modern hardware and software,” by Pavel Sountsov, Colin Carroll, and Matthew Hoffman. But really, just dive in and read whatever chapters interest you. My only regrets are that we didn’t include chapters on the following topics: – Probabilistic programming (Stan, etc.) – Sequential Monte Carlo (particle filtering) – Divide-and-conquer algorithms (expectation propagation, etc.) But, hey, no project is ever done. I’m glad to have been…