Reunderstanding slice sampling as parallel MCMC
Khoa T. Tran, Brett M. Ninness · 2015
A robust slice sampler, which guarantees no repeated samples, is found as a special case of Metropolis sampling that can interact with parallel chains to efficiently sample from multi-modal densities even with possibly isolated support sets. The algorithm is completely automated with no tuning required. Implications to particle filtering design for on-line state and parameter joint estimation is also discussed.