Christian Robert is a Professor at Université Paris-Dauphine (Franc...
Julian Besag (March 1945 – August 2010) was a British statistician...
The MANIAC built under the direction of Nicholas Metropolis at the ...
Los Alamos during World War 2 include led many of the efforts for t...
Stanislaw Ulam (April 1909 - May 1984) was a Polish mathematician a...
John Von Neuman (December 1903 - February 1957) was Hungarian-Ameri...
The ENIAC was the first electronic general-purpose computer; it was...
A Markov chain is irreducible if it is possible to get to any state...
The simulated annealing algorithm is worth reading about, it is a p...
Josiah Willard Gibbs (1839-1903) was an American scientist who amon...
arXiv:0808.2902v7 [stat.CO] 9 Jan 2012
Statistical Science
2011, Vol. 26, No. 1, 102–115
Institute of Mathematical Statistics, 2011
A Short History of Markov Chain Monte
Carlo: Subjective Recol lections from
Incomplete Data
Christian Robert and George Casella
This paper is dedicated to the memory of our friend Julian Besag,
a giant in the field of MCMC.
Abstract. We attempt to trace the history and development of Markov
chain Monte Carlo (MCMC) from its early inception in the late 1940s
through its use today. We see how the earlier stages of Monte Carlo
(MC, not MCMC) research have led to the algorithms currently in use.
More importantly, we see how the d evelopment of this methodology
has not only changed our solutions to problems, but has changed the
way we think about problems.
Key words and phrases: Gibbs sampling, Metropolis–Hasting algo-
rithm, hierarchical models, Bayesian methods.
Markov chain Monte Carlo (MCMC) m ethods ha-
ve been around for almost as long as Monte C arlo
techniques, even though their impact on Statistics
has not been truly felt until the very early 1990s,
except in the specialized fields of Spatial Statistics
and Image Analysis, where those methods appeared
earlier. The emergence of Markov based techniques
in Physics is a story that remains untold within this
Christian Robert is Professor of S tatistics,
CEREMADE, Universit´e Paris Dauphine, 75785 Paris
cedex 16, France e-mail:
George Casella is Distinguished Professor, Departm ent
of Statistics, University of Florida, Gainesville, Florida
32611, USA e-mail:
A shorter version of this paper appears as Chapter 1
in Handbook of Markov Chain Monte Carlo (2011), edited
by Steve Brooks, Andrew Gelman, Galin Jones and Xiao-Li
Meng. Chapman & Hall/CRC Handbooks of Modern Statis-
tical Methods, Boca Raton, Florida.
This is an electro nic reprint of the original article
published by the Institute of Mathematical Sta tis tics in
Statistical Science, 2011 , Vol. 26, No. 1, 102–115. This
reprint differs from the or iginal in pagination and
typographic detail.
survey (see Landau and Binder, 2005 ). Also, we will
not enter into a description of MCMC techniques.
A comprehensive treatment of MCMC tech niques,
with f urther references, can be found in Robert and
Casella (
We will distinguish between the introduction of
Metropolis–Hastings based algorithms and those re-
lated to Gibbs sampling, since they each stem from
radically different origins, even though their math-
ematical justification via Markov chain theory is the
same. Tracing the development of Monte Carlo meth-
ods, we will also briefly mention what we might call
the “second-generation MCMC revolution.” Starting
in the mid-to-late 1990s, this includes the develop-
ment of particle lters, reversible jump and perfect
sampling, and concludes with more curr ent work on
population or sequential Monte Carlo and regenera-
tion an d the computing of “honest” standard errors.
As mentioned above, the realization that Markov
chains could be used in a wide variety of situa-
tions only came (to mainstream s tatisticians) with
Gelfand and Smith (
1990), despite earlier p ublica-
tions in the statistical literature like Hastings (1970),
Geman and Geman (1984) and Tanner and Wong
1987). Several reasons can be ad vanced: lack of
computing machinery (think of the computers of
1970!), or back grou nd on Markov chains, or hesi-
tation to tr ust in the practicality of the method.
It thus required visionary researchers like Gelfand
and Smith to convince the community, supported
by papers that demonstrated, through a series of
applications, that the method was easy to under-
stand, easy to implement and practical (Gelfand
et al.,
1990; Gelfand, Smith and Lee, 1992; Smith
and Gelfand, 1992; Wakefield et al., 1994). The r ap id
emergence of the d edicated BUGS (Bayesian infer-
ence Using Gibbs Sampling) software as early as
1991, when a paper on BUGS was presented at the
Valencia meeting, was another compelling argum ent
for adopting, at large, MCMC algorithms.
Monte Carlo methods were born in Los Alamos,
New Mexico during World War II, eventually result-
ing in the Metropolis algorithm in the early 1950s.
While Monte Carlo method s were in use by that
time, MCMC was brought closer to statistical prac-
ticality by the work of Hastings in the 1970s.
What can be reasonably seen as the rst MCMC
algorithm is what we now call the Metropolis algo-
rithm, published by Metropolis et al. (
1953). It em-
anates from the same group of scientists who pro-
duced the Monte Carlo method, namely, the research
scientists of Los Alamos, mostly physicists working
on mathematical physics and the atomic bomb.
MCMC algorithms therefore date back to the same
time as the development of regular (MC only) Monte
Carlo methods, which are usually traced to Ulam
and von Neumann in the late 1940s. Stanislaw Ulam
associates the original id ea with an intractable com-
binatorial computation he attempted in 1946 (cal-
culating the probability of winning at the card game
“solitaire”). This idea was enthusiastically adopted
by John von Neumann for implementation with di-
rect applications to neutron diffusion, the name
“Monte Carlo” being suggested by Nicholas Metropo-
lis. (Eckhardt,
1987, describes these early Monte Car-
lo developments, and Hitchcock,
2003, gives a brief
history of the Metropolis algorithm.)
These o ccurrences very closely coincide with the
appearance of the very first computer, the ENIAC,
which came to life in February 1946, after three
years of construction. The Monte Carlo method was
Historically speaking, the development of BUGS initiated
from Geman and Geman (
1984) and Pearl (1987), in accord
with the developments in the artificial intelligence community,
and it predates Gelfand and Smith (1990).
set up by von Neumann, who was using it on thermo-
nuclear and fission problems as early as 1947. At the
same time, that is, 1947, Ulam and von Neumann in-
vented inversion and accept-reject techniques (also
recounted in Eckhardt,
1987) to simulate from nonu-
niform distr ibutions. Without computers, a rudimen-
tary version invented by Ferm i in the 1930s did n ot
get any recognition (Metropolis,
1987). Note also th at,
as early as 1949, a symposium on Monte Carlo was
supported by Rand, NBS and the Oak Ridge labora-
tory and that Metropolis and Ulam (
1949) published
the very first paper about the Monte Carlo method.
2.1 The Metropolis et al. (1953) Paper
The first MCMC algorithm is associated with a se-
cond computer, called MANIAC, built
in Los Ala-
mos under the direction of Metropolis in early 1952.
Both a physicist and a mathematician, Nicolas Me-
tropolis, who died in Los Alamos in 1999, came to
this place in April 1943. The other members of the
team also came to Los Alamos during those years,
including the controversial Teller. As early as 1942,
he became obsessed with the hydrogen (H) bomb,
which he eventually managed to design with Stanis-
law Ulam, using the better computer facilities in the
early 1950s.
Published in June 1953 in the Journal of Chem-
ical Physics, the primary focus of Metropolis et al.
1953) is the computation of integrals of the form
I =
F (θ) exp{−E(θ)/kT }
exp{−E(θ)/kT },
on R
, θ denoting a set of N particles on R
, with
the energy E being defined as
E(θ) =
V (d
where V is a potential function and d
the Eu-
clidean distance between particles i and j in θ. Th e
Boltzmann distribution exp{−E(θ)/kT } is parame-
terized by the temperature T , k being the Boltzmann
constant, with a normalization factor
Z(T ) =
exp{−E(θ)/kT },
that is not available in closed form, except in tr ivial
cases. Since θ is a 2N -dimensional vector, numerical
MANIAC stands for Mathematical Analyzer, Numerical
Integrator and Computer.
integration is impossible. Given the large dimension
of the problem, even standard Monte Carlo tech-
niques fail to correctly approximate I, since
exp{−E(θ)/kT } is very small for most realizations
of the random configurations of the particle system
(uniformly in the 2N sq uare). In order to improve
the efficiency of the Monte Carlo method, Metropo-
lis et al. (
1953) propose a random walk mod ifica-
tion of the N particles. That is, for each particle i
(1 i N ), values
= x
+ σξ
and y
= y
+ σξ
are proposed, where both ξ
and ξ
are uniform
U(1, 1). The energy difference E between the
new configuration and the pr evious one is then com-
puted and the new configuration is accepted with
min{1, exp(E/kT )},(1)
and otherwise the previous configuration is repli-
cated, in the sense that its counter is increased by
one in the final average of the F (θ
)’s over the τ
moves of the random walk, 1 t τ . Note that
Metropolis et al. (
1953) move one particle at a time,
rather than moving all of them together, which ma-
kes the initial algorithm appear as a primitive kind
of Gibbs sampler!
The auth ors of Metropolis et al. (
1953) demon-
strate the validity of the algorithm by first establish-
ing irreducibility, which they call ergodici ty, and sec-
ond proving ergodicity, that is, convergence to the
stationary distribution. The second part is obtained
via a discretization of th e sp ace: They first note that
the proposal move is reversible, then establish that
exp{−E/kT } is invariant. The result is therefore
proven in its full generality, minus the discretiza-
tion. The number of iterations of the Metropolis al-
gorithm used in the paper seems to be limited: 16
steps for bu rn-in and 48 to 64 subsequent iterations,
which required four to five hours on the Los Alamos
An interesting variation is the Simulated Anneal-
ing algorithm, developed by Kirkpatrick , Gelatt and
Vecchi (
1983), who connected optimization with an-
nealing, the cooling of a metal. Th eir variation is to
allow the temperature T in (
1) to chan ge as the algo-
rithm runs, according to a “cooling schedule,” and
the Simulated Annealing algorithm can be shown
to find the global maximum with probability 1, al-
though the analysis is quite complex d ue to the fact
that, with varying T , the algorithm is no longer
a time-homogeneous Markov chain.
2.2 The Hastings (
1970) Paper
The Metropolis algorithm was later generalized
by Hastings (1970) and his s tudent Peskun (1973,
1981) as a statistical simulation tool that could over-
come th e curse of dimensionality met by regular
Monte Carlo methods, a point already emphasized
in Metropolis et al. (
In his Biometrika paper,
Hastings (1970) also de-
fines his methodology for finite and reversible Mar-
kov chains, treating the continuous case by using
a discretization analogy. The generic pr ob ab ility of
acceptance for a move from state i to state j is
1 + (π
where s
= s
, π
denotes the target and q
proposal. This generic form of probability encom-
passes the forms of both Metropolis et al. (
1953) and
Barker (
1965). At this stage, Hastings mentions that
little is known about the relative merits of those two
choices (even though) Metropolis’s method may be
preferable. He also warns against high re jection rates
as indicative of a poor choice of transition matrix,
but does n ot mention the opposite pitfall of low re-
jection rates, associated with a slow exploration of
the target.
The examples given in the paper are a Poisson tar-
get with a ±1 rand om walk proposal, a normal tar-
get with a uniform random walk proposal mixed
with its r eflection, that is, a uniform proposal cen-
tered at θ
rather than at the current value θ
the Markov chain, and then a multivariate target
where Hastings introduces a Gibbs sampling strat-
egy, updating one component at a time an d defining
the composed transition as s atisfying the stationary
condition because each component does leave the
target invariant. Hastings (
1970) actually refers to
Ehrman, Fosdick and Handscomb (
1960) as a preli-
minary, if specific, instance of this samp ler. More pre-
cisely, this is Metropolis-within-Gibbs except for the
name. This first introd uction of the Gibbs sampler
has thus been completely overlooked, even though
the proof of convergence is completely general, based
on a composition argument as in Tierney (
1994), dis-
cussed in Section
4.1. The r emainder of the paper
In fact, Hastings starts by mentioning a decomposition
of the target distribution into a product of one-dimensional
conditional distributions, but this falls short of an early Gibbs
Hastings (
1970) is one of the ten Biometrika papers re-
produced in Titterington and Cox (
deals with (a) an importance sampling version of
MCMC, (b) general remarks about assessment of the
error, and (c) an application to random orthogonal
matrices, with another example of Gibbs sampling.
Three years later, Peskun (
1973) published a com-
parison of Metropolis’ and Barker’s forms of accep-
tance probabilities and shows in a discrete setup
that the optimal choice is that of Metropolis, where
optimality is to be understood in terms of the asymp-
totic variance of any empirical average. The proof is
a direct consequence of a result by Kemeny and Snell
1960) on the asymptotic variance. Peskun also es-
tablishes that this asymptotic variance can imp rove
upon the i.i.d. case if and only if the eigenvalues of
P A are all negative, when A is the transition
matrix corresponding to i.i.d. simulation and P th e
transition matrix corresponding to the Metropolis
algorithm, but he concludes that the trace of P A
is always positive.
A number of earlier pioneers had brought forward
the seeds of Gibbs sampling; in particular, Hammer-
sley and Clifford had produced a constructive argu-
ment in 1970 to recover a joint distribution from its
conditionals, a result later called the Hammersley–
Clifford theorem by Besag (
1974, 1986). Besides Has-
tings (
1970) and Geman and Geman (1984), already
mentioned, other papers that contained the seeds
of Gibbs sampling are Besag and Clifford (
Broniatowski, Celeux and Diebolt (
1984), Qian and
Titterington (1990) and Tann er and Wong (1987).
3.1 Besag’s Early Work and the Fundamental
(Missing) Theorem
In the early 1970’s, Hammersley, Clifford and Be-
sag were working on the specification of joint distri-
butions from conditional distributions and on nec-
essary and suffi cient conditions for the conditional
distributions to be compatible with a joint distri-
bution. Wh at is now known as the Hammersley–
Clifford theorem states that a joint distribu tion for
a vector associated with a dependence graph (edge
meaning dependence and absence of edge conditional
indepen dence) must be represented as a product of
functions over the cliques of the graphs, that is,
of functions depending only on the components in-
dexed by the labels in the clique.
A clique is a maximal subset of the nodes of a graphs su ch
that every pair of nodes within the clique is connected by an
edge (Cressie,
From a historical point of v iew, Hammersley (
explains why the Hammersley–Clifford theorem was
never published as such, but only through Besag
1974). The r eason is that Clifford and Hammers-
ley were dissatisfied with the positivity constraint:
The joint density could be recovered from the full
conditionals only when the support of the joint was
made of the product of the supports of the full con-
ditionals. While they strived to make the theorem
independent of any positivity condition, their grad-
uate student publish ed a counter-example that put
a full stop to their endeavors (Moussouris,
While Besag (1974) can certainly be credited to
some extent of the (re-)discovery of the Gibbs sam-
pler, Besag (
1975) expressed doubt about the prac-
ticality of his method, noting that “the technique
is unlikely to be particularly helpful in many other
than binary situations and the Markov chain itself
has no practical interpretation,” clearly understat-
ing the importance of his own work.
A more optimistic sentiment was expressed ear-
lier by Hammersley and Handscomb (
1964) in their
textbook on Monte Carlo methods. There they cover
such topics as “Crude Monte Carlo,” importance
sampling, control variates and “Conditional Monte
Carlo,” which looks surp risingly like a missing-data
completion approach. Of course, they do not cover
the Hammersley–Clifford theorem, but they state in
the Preface:
We are convinced nevertheless that Monte
Carlo methods will one day reach an im-
pressive maturity.
Well said!
3.2 EM and Its Simulated Versions as Precursors
Because of its use for missing data problems, the
EM algorithm (Dempster, Laird and Rubin,
has early connections with Gib bs sampling. For in-
stance, Broniatowski, Celeux and Diebolt (
1984) and
Celeux and Diebolt (
1985) had tried to overcome the
dependence of EM methods on the starting value
by replacing the E step with a simulation step, the
missing data z being generated conditionally on the
observation x and on the current value of the pa-
rameter θ
. The maximization in the M step is then
done on the simulated complete-data log-likelihood,
a predecessor to the Gibbs step of Diebolt and R o-
bert (
1994) for mixture estimation. Unfortunately,
the theoretical convergence results for these meth-
ods are limited. Celeux and Diebolt (
1990) have,
however, solved th e convergence pr ob lem of SEM
by devising a hybrid vers ion called SAEM (for Simu-
lated Annealing EM ), where the amount of random-
ness in the simulations decreases with the iterations,
ending up with an EM algorithm.
3.3 Gibbs a nd B eyond
Although somewhat removed from statistical in-
ference in the classical sense and based on earlier
techniques used in Statistical Physics, the landmark
paper by Geman and Geman (
1984) brought Gibbs
sampling into the arena of statistical application.
This paper is also responsible for the name Gibbs
sampling, because it implemented this method for
the Bayesian study of Gibbs random fields which,
in turn, derive their name from the physicist Josiah
Willard Gibbs (1839–1903). T his original implemen-
tation of the Gibbs sampler was applied to a discrete
image processing problem and did not involve com-
pletion. But this was one more spark that led to
the exp losion, as it had a clear influence on Gr een,
Smith, Spiegelhalter and others.
The extent to which Gibbs sampling and Metropo-
lis algorithms were in use within the image analy-
sis and point process communities is actually q uite
large, as illustrated in Ripley (
1987) where Sec-
tion 4.7 is entitled “Metropolis’ method and ran-
dom fields” an d describes the implementation and
the validation of the Metropolis algorithm in a fi-
nite setting with an application to Markov random
fields and the corresponding issue of bypassing the
normalizing constant. Besag, York and Molli´e (
is another striking example of the activity in the spa-
tial statistics community at the end of the 1980s.
The gap of more than 30 years between Metropo-
lis et al. (1953) and Gelfand and Smith (1990) can
still be partially attributed to the lack of appropri-
ate computing power, as most of the examples now
processed by MCMC algorithms could not have been
treated previously, even though the hundreds of di-
mensions processed in Metropolis et al. (
1953) were
quite formidable. However, by the mid-1980s, the
pieces were all in place.
Other and more well-known connections between EM and
MCMC algorithms can be found in the literature (Liu and
1994; Meng and Rubin, 1993; Wei and Tanner, 1990),
but the connection with Gibbs sampling is more tenuous in
that the simulation methods are used to approximate quan-
tities in a Monte Carlo fashion.
After Peskun, MC MC in the statistical world was
dormant for about 10 years, and then several pa-
pers appeared that highlighted its usefulness in spe-
cific settings like pattern recognition, image analysis
or spatial statistics. In particular, Geman and Ge-
man (
1984) influenced Gelfand and S mith (1990) to
write a paper that is the genuine starting point for
an intens ive use of MCMC methods by the main-
stream s tatistical community. It sparked new inter-
est in Bayesian methods, statistical computing, al-
gorithms and stochastic processes through the use
of computing algorithms such as the Gibbs sam-
pler and the Metropolis–Hastings algorithm. (See
Casella and George, 1992, for an elementary intro-
duction to the Gibbs sampler.
Interestingly, the earlier paper by Tanner and
Wong (1987) had essentially the same ingredients
as Gelfand and Smith (
1990), namely, th e fact that
simulating from the conditional distributions is suf-
ficient to asymptotically simulate from the joint.
This paper was considered important enough to be
a discussion paper in the Journal of the American
Statistical Association, but its impact was somehow
limited, compared with Gelfand and Smith (
There are several reasons for this; one being that the
method seemed to only apply to missin g data prob-
lems, this impression being reinforced by the name
data augmentation, and another is that the authors
were more focused on approximating the posterior
distribution. They suggested a MCMC approxima-
tion to the target π(θ|x) at each iteration of the
sampler, based on
π(θ|x, z
(z|x), k = 1, . . . , m,
that is, by replicating m times the simulations from
the current approximation ˆπ
(z|x) of the marginal
posterior distribution of the missing data. This fo-
cus on estimation of the posterior distribution con-
nected the original Data Augmentation algorithm to
EM, as pointed out by Dempster in the discussion.
On a humorous note, the original Technical Report of this
paper was called Gibbs for Kids, which was changed because
a referee did not appreciate the humor. However, our colleague
Dan Gianola, an Animal Breeder at Wisconsin, liked the title.
In using Gibbs sampling in his work, he gave a presentation in
1993 at the 44th Annual Meeting of the Europ ean Association
for Animal Production, Arhus, Denmark. The title: Gibbs for
Although the discussion by Carl Morris gets very
close to the two-stage Gibbs sampler for hierarchi-
cal models, he is still concerned about doing m iter-
ations, and worries about how costly that would be.
Tanner and Wong mention taking m = 1 at the end
of the paper, referring to this as an “extreme case.”
In a sense, Tanner and Wong (
1987) were still too
close to Rubin’s
1978 multiple imputation to start
a new revolution. Yet another reason for th is may
be that the theoretical background was based on
functional analysis rather than Markov ch ain theory,
which needed, in particular, for th e Markov kernel
to be uniformly bounded and equicontinuous. This
may have discouraged potential users as requiring
too much mathematics.
The authors of this review were fortunate enough
to attend many focused conferences d uring this time,
where we were able to witness the explosion of Gibbs
sampling. In the summer of 1986 in Bowling Green,
Ohio, Adrian Smith gave a series of ten lectures
on hierarchical models. Although there was a lot of
computing mentioned, the Gibbs sampler was not
fully developed yet. In another lecture in June 1989
at a Bayesian workshop in Sherbrooke, Qu´ebec, he
revealed for the first time the generic features of
the Gibbs sampler, and we still remember vividly
the shock induced on ourselves and on the whole
audience by the sheer breadth of the method: This
development of Gibbs sampling, MCMC, and the re-
sulting seminal paper of Gelfand and Smith (
was an epiphany in the world of Statistics.
Definition (Epiphany n). A spiritual event in
which the essence of a given object of manifesta-
tion appears to the subject, as in a sudden ash of
The explosion had begun, and just two years later,
at an MCMC conference at Ohio State University
organized by Alan Gelfand, Prem Goel and Ad rian
Smith, there were three full days of talks. The pre-
senters at the conference read like a Who’s Who of
MCMC, and the level, intensity an d imp act of that
conference, and the subsequent research, are immea-
surable. Many of the talks were to become influential
papers, including Albert and Chib (1993), Gelman
and Rubin (
1992), Geyer (1992), Gilks (1992), Liu,
Wong and Kong (1994, 1995) and Tierney (1994).
The program of the conference is reproduced in the
Approximately one year later, in May of 1992,
there was a meeting of the Royal Statistical Soci-
ety on “The Gibbs sampler and other Markov chain
Monte Carlo methods,” where four papers were pre-
sented followed by much discussion. The papers ap-
pear in the first volume of JRSSB in 1993, together
with 49(!) pages of discussion. The excitement is
clearly evident in the writings, even though the the-
ory and implementation were not always perfectly
Looking at these meetings, we can see the paths
that Gib bs sampling would lead us down. In the next
two sections we will summarize some of the advances
from the early to mid 1990s.
4.1 Advances in MCMC Theory
Perhaps the most influential MCMC theory pa-
per of the 1990s is Tierney (
1994), who carefully
laid out all of the assumptions needed to analyze
the Markov chains and then developed their prop-
erties, in particular, convergence of ergodic averages
and central limit theorems. In one of the discu ssions
of that paper, Chan and Geyer (
1994) were ab le to
relax a condition on Tierney’s Central Limit Theo-
rem, and this new condition plays an important role
in research today (see Section
5.4). A pair of very in-
fluential, and in novative, papers is the work of Liu,
Wong and Kong (
1994, 1995), who very carefully an-
alyzed the covariance str ucture of Gibbs sampling,
and were able to formally establish the validity of
Rao–Blackwellization in Gibbs sampling. Gelfand
and Smith (
1990) had used Rao–Blackwellization,
but it was not justified at that time, as the origi-
nal theorem was only applicable to i.i.d. sampling,
which is not the case in MCMC. Another significant
entry is Rosenthal (
1995), who obtained one of the
earliest results on exact rates of convergence.
Another paper must be singled out, namely, Men-
gersen and Tweedie (
1996), for setting the tone for
the study of the speed of convergence of MCMC
algorithms to the target distribution. Subsequent
works in this area by Richard Tweedie, Gareth Ro-
berts, Jeff R osenthal and co-authors are too numer-
ous to be mentioned here, even though the paper
On another humorous note, Peter Clifford opened the
discussion by noting . . .we have had the opportunity to
hear a large amount about an important new area in statis-
tics. It may well be remembered as the ‘afternoon of the 11
Bayesians. Bayesianism has obviously come a long way. It
used to be that you could tell a Bayesian by his tendency
to hold meetings in isolated parts of Spain and his obsession
with coherence, self-interrogation and other manifestations of
paranoia. Things have changed, and there may be a general
lesson here for statistics. Isolation is counter-productive.”
by Roberts, Gelman and Gilks (
1997) must be cited
for setting explicit targets on the acceptance rate
of the ran dom walk Metropolis–Hastings algorithm,
as well as Roberts and Rosenthal (
1999) for get-
ting an upper bound on the number of iterations
(523) needed to approximate the target up to 1%
by a slice samp ler. The untimely death of Richard
Tweedie in 2001, alas, had a major impact on the
book about MCMC convergence he was contemplat-
ing with Gareth Roberts.
One pitfall arising from the widespread use of
Gibbs sampling was the tendency to specify models
only through their conditional distributions, almost
always without referring to the positivity conditions
in Section
3. Unfortunately, it is possible to spec-
ify a perfectly legitimate-looking set of conditionals
that do not correspon d to any joint distribution, and
the resulting Gibbs chain cannot converge. Hobert
and Casella (
1996) were able to document the con-
ditions needed for a convergent Gibbs chain, and
alerted the Gibbs community to this problem, which
only arises when improper priors are used, but this
is a frequent occurrence.
Much other work followed, and continues to grow
today. Geyer and Thomp son (
1995) describe how to
put a “ladder” of chains together to have both “hot”
and “cold” exploration, followed by Neal’s
1996 in-
troduction of tempering; Athreya, Doss and Sethu-
raman (1996) gave more easily verifiable conditions
for convergence; Meng and van Dyk (
1999) and Liu
and Wu (
1999) developed the theory of parame-
ter expansion in the Data Augmentation algorithm,
leading to construction of chains w ith faster con-
vergence, and to the work of Hobert and Marchev
2008), who give precise constructions and theorems
to show how parameter expansion can uniformly im-
prove over the original chain.
4.2 Advances in MCMC Applications
The real reason for the explosion of MCMC meth-
ods was the fact that an enorm ou s number of prob-
lems that were deemed to be computational night-
mares now cracked open like eggs. As an example,
consider this very simple random effects model from
Gelfand and Smith (
1990). Observe
= θ
+ ε
, i = 1, . . . , K, j = 1, . . . , J,(2)
N(µ, σ
N(0, σ
), independent of θ
Estimation of the variance components can be diffi-
cult for a frequentist (REML is typically preferr ed),
but it indeed was a nightmare for a Bayesian, as the
integrals were intractable. However, with the usual
priors on µ, σ
and σ
, the f ull cond itionals are triv-
ial to sample from and the problem is easily solved
via Gibbs sampling. Moreover, we can increase the
numb er of variance components and the Gibbs so-
lution remains easy to implement.
During the early 1990s, researchers found that
Gibbs, or Metropolis–Hastings, algorithms would be
able to give solutions to almost any problem that
they looked at, and there was a veritable flood of pa-
pers applying MCMC to previously intractable mod-
els, and getting good answers. For example, bu ild-
ing on (
2), it was quickly r ealized that Gibbs sam-
pling was an easy route to getting estimates in the
linear mixed models (Wang, Rutledge and Gianola,
1993, 1994), and even generalized linear mixed mod-
els (Zeger and Karim,
1991). Building on the expe-
rience gained with the EM algorithm, similar ar-
guments made it possible to analyze probit models
using a latent variable approach in a linear mixed
model (Alber t and Chib,
1993), and in mixture mod-
els with Gibbs sampling (Diebolt and Robert,
It progressively dawned on the community that la-
tent variables could be artificially introduced to run
the Gibbs sampler in about every situation, as even-
tually published in Damien, Wakefield and Walker
(1999), the main example being the slice sampler
2003). A very incomplete list of some other
applications include changepoint analysis (Carlin,
Gelfand and Smith,
1992; Stephens, 1994), Genomics
1995; Lawrence et al., 1993; Stephens
and Smith,
1993), capture–recapture (Dupuis, 1995;
George and Robert,
1992), variable selection in re-
gression (George an d McCulloch,
1993), spatial sta-
tistics (Raftery and Banfield,
1991), and longitudi-
nal studies (Lange, Carlin and Gelfand,
Many of these applications were advanced though
other developments su ch as the Adaptive Rejection
Sampling of Gilks (
1992); Gilks, Best and Tan (1995),
and the simulated tempering approaches of Geyer
and T hompson (
1995) or Neal (1996).
After the revolution comes the “second” revolu-
tion, but now we have a more mature field. The
revolution has slowed, and the problems are being
solved in, perhaps, deeper and more sophisticated
ways, even though Gibbs sampling also offers to the
amateur the possibility to handle Bayesian analy-
sis in complex models at little cost, as exhibited by
the widespread use of BUGS, which mostly focuses
on this approach. But, as before, the methodology
continues to expand the set of problems for which
statisticians can provide meaningful solutions, and
thus continues to further the impact of Statistics.
5.1 A Brief Glimpse at Particle Systems
The realization of the possibilities of iterating im-
portance sampling is not new: in fact, it is about as
old as Monte Carlo methods themselves. It can be
found in the molecular simulation literature of the
50s, as in Hammersley and Morton (
1954), Rosen-
bluth and Rosenbluth (
1955) and Marshall (1965).
Hammersley and colleagues proposed such a method
to simulate a self-avoiding random walk (see Madras
and Slade,
1993) on a grid, due to huge inefficien-
cies in regular importance sampling and rejection
techniques. Although this early implementation oc-
curred in particle physics, the use of the term “par-
ticle” only dates back to Kitagawa (
1996), while
Carpenter, Clifford and Fernhead (
1997) coined the
term “particle filter.” In signal processing, early oc-
currences of a particle filter can be traced back to
Handschin and Mayne (
More in connection with ou r theme, the landmark
paper of Gordon, Salmond and Smith (1993) in-
troduced the bootstrap filter which, wh ile formally
connected with importance sampling, involves past
simulations and p ossible MCMC steps (Gilks and
2001). As described in the volume edited
by Doucet, de Freitas and Gordon (
2001), parti-
cle lters are simulation methods adapted to se-
quential settings where data are collected progres-
sively in time, as in radar detection, telecommuni-
cation correction or financial volatility estimation.
Taking advantage of state-space representations of
those dynamic models, particle fi lter methods pro-
duce Monte Carlo approximations to the posterior
distributions by prop agating simulated samples who-
se weights are actualized against the incoming ob-
servations. Since the importance weights have a ten-
dency to d egenerate, that is, all weights but one are
close to zero, additional MCMC steps can be intro-
duced at times to recover the variety and rep resen-
tativeness of the sample. Mod er n connections with
MCMC in the construction of the proposal kernel
BUGS now uses both Gibbs sampling and Metropolis–
Hastings algorithms.
are to be f ou nd, for instance, in Doucet, God sill and
Andrieu (
2000) and in Del Moral, Doucet and Jasra
2006). At the same time, sequential imputation was
developed in Kong, Liu and Wong (
1994), while Liu
and Chen (
1995) first formally pointed out the im-
portance of resampling in sequential Monte Carlo,
a term coined by them.
The recent literature on the topic more closely
bridges the gap between sequential Monte Carlo and
MCMC methods by making adap tive MCMC a pos-
sibility (see, e.g., And rieu et al.,
2004, or Roberts
and Rosenthal,
5.2 Perfect Sampling
Introduced in the semin al paper of Propp and
Wilson (1996), perf ect sampling, namely, the abil-
ity to use MCMC methods to produce an exact
(or perfect) simulation from the target, maintains
a unique place in the history of MCMC methods.
Although this exciting discovery led to an outburst
of p apers, in particular, in the large body of work of
Møller and coauthors, including the book by Møller
and Waagepetersen (
2003), as well as many reviews
and introductory materials, like Casella, Lavine and
Robert (2001), Fismen (1998) and Dimakos (2001),
the excitement quickly dried out. The major reason
for this ephemeral lifesp an is that the construction
of perfect samplers is most often close to impossible
or impractical, despite some advances in the imple-
mentation (Fill,
1998a, 1998b).
There is, h owever, ongoing activity in the area
of point processes and stochastic geometry, much
from the work of Møller and Kendall. In particu-
lar, Kendall and Møller (2000) developed an alter-
native to the Coupling From The Past (C FPT) al-
gorithm of Propp and Wilson (1996), called horizon-
tal CFTP, which m ainly applies to point p rocesses
and is based on continuous time birth-and-death
processes. See also Fern´andez, Ferrari and Garcia
(1999) for another horizontal CFTP algorithm for
point processes. Berthelsen and ller (
2003) ex-
hibited a use of these algorithms for nonparametric
Bayesian inference on point processes.
5.3 Reversible Jump and Variable Dimensions
From many viewpoints, the invention of th e re-
versible jump algorithm in Green (
1995) can be seen
as the start of the second MCMC revolution: the
formalization of a Markov chain that moves across
models and parameter spaces allowed for the Baye-
sian processing of a wide variety of new models and
contributed to the success of Bayesian model choice
and subsequently to its adoption in other fields. The-
re exist earlier alternative Monte Carlo solutions
like Gelfand and Dey (
1994) and Carlin and Chib
1995), the later being very close in spirit to re-
versible ju mp MCMC (as shown by the completion
scheme of Brooks, Giudici and Roberts, 2003), but
the definition of a proper balance condition on cross-
model Markov kernels in Green (1995) gives a generic
setup for exploring variable dimension spaces, even
when the number of models under comparison is in-
finite. The impact of this new idea was clearly per -
ceived when looking at the First European Confer-
ence on Highly Structured Stochastic Systems that
took place in Rebild, Denmark, the next year, or-
ganized by Stephen Lauritzen an d Jesper Møller:
a large majority of the talks were aimed at direct
implementations of RJMCMC to various inference
problems. The application of RJMCMC to mixture
order estimation in the discussion paper of Richard-
son and Green (
1997) ensured furth er dissemination
of the technique. Continuing to develop RJMC MC t,
Stephens (2000) pr oposed a continuous time version
of R JMCMC, based on earlier ideas of Geyer and
Møller (1994), but with similar properties (Capp´e,
Robert and Ryd´en,
2003), while Brooks, Giudici and
Roberts (
2003) made proposals for increasing the ef-
ficiency of the moves. In retrospect, while reversible
jump is somehow u navoidable in the processing of
very large numbers of models under comparison,
as, for instance, in variable selection (Marin and
2007), the implementation of a complex al-
gorithm like RJMCMC for the comparison of a few
models is somewhat of an overkill since there may
exist alternative solutions based on mod el specific
MCMC chains, for example (Chen, Shao and Ibra-
5.4 Regeneration and the CLT
While the Central Limit Theorem (CLT) is a cen-
tral tool in Monte Carlo convergence assessment, its
use in MCMC setups took longer to emerge, despite
early signals by Geyer (
1992), and it is only recently
that s ufficiently clear conditions emerged. We re-
call that the Ergodic Theorem (see, e.g., Robert and
2004, Theorem 6.63) states that, if (θ
a Markov chain with stationary distribution π, and
h(·) is a function with finite variance, then under
fairly mild conditions,
h(θ)π(θ) = E
almost everywhere, where
= (1/n)
For the CLT to be used to monitor this convergence,
Var h(θ)
N(0, 1),(4)
there are two roadblock s. First, convergence to nor-
mality is strongly affected by the lack of indepen-
dence. To get CLTs f or Markov chains, we can use
a result of Kipnis and Varadhan (
1986), which re-
quires the chain to be reversible, as is the case for
holds for Metropolis–Hastings chains, or we must
delve into mixing conditions (Billingsley, 1995, Sec-
tion 27), which are typically not easy to verify. How-
ever, Chan and Geyer (1994) showed how the condi-
tion of geometric er godicity could be used to estab-
lish CLTs for Markov chains. But getting the con-
vergence is only half of the p roblem. In order to
use (
4), we must be able to consistently estimate the
variance, which turns out to be an other difficult en-
deavor. The “na¨ıve” estimate of the usual standard
error is not consistent in the dependent case and
the most promising paths for consistent variance es-
timates seems to be through regeneration and batch
The theory of r egeneration uses the concept of
a split chain (Athreya and Ney,
1978), and allows
us to independently restart the chain while preserv-
ing the stationary distribution. These independent
“tours” then allow the calculation of consistent vari-
ance estimates and honest monitoring of convergence
through (4). Early work on applying regeneration
to MCMC chains was done by Mykland, Tierney
and Yu (
1995) and R obert (1995), who showed how
to constru ct the chains and use them for variance
calculations and diagnostics (see also Guihenneuc-
Jouyaux and Robert,
1998), as well as deriving adap-
tive MCMC algorithms (Gilks, Roberts and Sahu,
1998). Rosenthal (1995) also showed how to con-
struct an d use regenerative chains, and much of this
work is reviewed in Jones and Hobert (2001). The
most interesting and p ractical developments, how-
ever, are in Hobert et al. (2002) and Jones et al.
2006), where consistent estimators are constr ucted
for Var h(X), allowing valid monitoring of conver-
gence in chains that satisfy the CLT. Interestingly,
although Hob er t et al. (2002) use regeneration, Jones
et al. (2006) get their consistent estimators thorough
another technique, that of cumulative batch means.
The impact of Gibbs samplin g and MCMC was to
change our entire method of think ing and attacking
problems, representing a paradigm shift (Kuh n,
Now , the collection of real problems that we could
solve grew almost without bound. Markov chain Mon-
te Carlo changed our emphasis from “closed form”
solutions to algorithms, expanded our impact to solv-
ing “real” applied problems and to improving nu-
merical algorithms using statistical ideas, and led us
into a world where “exact” now m eans “simulated.”
This has truly been a quantum leap in the evo-
lution of the eld of statistics, and the evidence is
that there are no signs of slowing down. Although
the “explosion” is over, the current work is going
deeper into theory and applications, and continues
to expand our horizons and influen ce by increasing
our ability to solve even bigger and more important
problems. The size of the data sets, and of the mod-
els, for example, in genomics or climatology, is some-
thing that could not have been conceived 60 years
ago, wh en Ulam and von Neumann invented the
Monte Carlo method. Now we continue to plod on,
and hope that the advances that we make here will,
in some way, help our colleagues 60 years in the fu-
ture solve the problems that we cannot yet conceive.
This section contains the program of the Work-
shop on Bayesian Computation via Stochastic Sim-
ulation, held at Ohio State University, February 15–
17, 1991. The organizers, an d their affiliations at the
time, were Alan Gelfand, Un iversity of Connecti-
cut, Prem Goel, Ohio State University, and Adrian
Smith, Imperial College, London.
Friday, Feb. 15, 1991.
(a) Theoretical Aspect of Iterative Sampling,
Chair: Adrian Sm ith .
(1) Martin Tanner, University of Rochester:
(2) Nick Polson, Carnegie Mellon Univer-
sity: On the Convergence of the Gibbs Sam-
pler and Its Rate.
(3) Wing-Hung Wong, Augustin Kong and
Jun Liu, University of Chicago: Correlation
Structure and Convergence of the Gibbs Sam-
pler and Related Algorithms.
(b) Applications—I, Chair: Prem Goel.
(1) Nick Lange, Brown University, Brad
Carlin, Carnegie Mellon University and Alan
Gelfand, University of Conn ecticut: Hierar-
chical Bayes Models for Progression of HIV
(2) Cliff Litton, Nottingham University,
England: Archaeologi cal Applications of Gibbs
(3) Jonas Mockus, Lithuanian Academy of
Sciences, Vilnius: Bayesian Approach to Global
and Stochastic O ptimization.
Saturday, Feb. 16, 1991.
(a) Posterior Simulation an d Markov Sampling,
Chair: Alan Gelfand.
(1) Lu ke Tierney, University of Minnesota:
Exploring Posterior Distributions Using Mar-
kov Chains.
(2) Peter Mueller, Purdue University:
A Generic Approach to Posterior Integration
and Bayesian Sampling.
(3) Andrew Gelman, University of Califor-
nia, Berkeley and Donald P. Rubin, Harvard
University: On the Routine Use of Markov
Chains for Simulations.
(4) Jon Wakefield, Imperial College, Lon-
don: Parameterization Issues in Gibbs Sam-
(5) Panickos Palettas, Virginia Polytech-
nic In stitute: Acceptance–Rejection Method in
Posterior Computations.
(b) Applications—II, Chair: Mark Berliner.
(1) David Stephens, Imperial College, Lon-
don: Gene Mapping via Gibbs Sampling.
(2) Constantine Gatsonis, Harvard Univer-
sity: Random Efleeds Model for Ordinal Cate-
qorica! Data with an Application to ROC Anal-
(3) Arnold Zellner, University of Chicago,
Luc Bauwens and Herman Van Dijk: Bayesian
Specification Analysis and Estimation of Simul-
taneous Equation M odels Using Monte Carlo
(c) Adaptive Sampling, Chair: Carl Morris.
(1) Mike Evans, University of Toronto and
Carnegie Mellon University: Some Uses of
Adaptive Importance Sampling and Chaining.
(2) Wally Gilks, Medical Research Coun-
cil, Cambridge, England: Adaptive Rejec tion
(3) Mike West, Duke University: Mixture
Model Approximations, Sequential Updating
and Dynamic M odels.
Su nday, Fe b. 17, 1991.
(a) Generalized Linear and Nonlinear Models,
Chair: Rob K ass.
(1) Ruey Tsay and R obert McCulloch, Uni-
versity of Chicago: Bayesian Analysis of Au-
toregressive Time Series.
(2) Christian Ritter, Univer sity of Wiscon-
sin: Sampling Based Inference in Non Li near
(3) William DuMouch el, BBN Software,
Boston: Application of the Gibbs Sampler to
Variance Component Modeling.
(4) James Albert, Bowling Green Univer-
sity and Sidhartha Chib, Washington Univer-
sity, St. Louis: Bayesian Regression Analysis
of Binary D ata.
(5) Ed win Green and William Strawder-
man, Rutgers University: Bayes E stimates for
the Linear Model with Unequal Variances.
(b) Maximum Likelihood and Weighted Boots-
trapping, Chair: George Casella.
(1) Adrian Raftery and Michael Newton,
University of Washington: Approximate Baye-
sian Infere nce by the Weighted Bootstrap.
(2) Charles Geyer, Universlty of Chicago:
Monte Carlo Maximum Likelihood via Gibbs
(3) Elizabeth Thompson, University of
Washington: Stochastic Simulation for Com-
plex Genetic Analysis.
(c) Panel Discussion—Future of Bayesian Infer-
ence Using Stochastic Simulation, Chair: Prem
Panel—Jim Berger, Alan Gelfand and Ad -
rian Smith.
We are grateful for comments and suggestions
from Brad Carlin, Olivier Capp´e, David Spiegelhal-
ter, Alan Gelfand, Peter Green, Jun Liu, Sharon
McGrayn e, Peter M¨uller, Gareth Roberts and Adrian
Smith. Christian Robert’s work was partly done dur-
ing a visit to the Queensland University of Technol-
ogy, Brisbane, and the author is grateful to Ker-
rie Mengersen for her hospitality and support. Sup-
ported by the Agence Nationale de la Recherche
(ANR, 212, rue de Bercy 75012 Paris) through the
2006–2008 project ANR=05-BLAN-0299 Adap’MC.
Supported by NSF Grants DMS-06-31632, SES-06-
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John Von Neuman (December 1903 - February 1957) was Hungarian-American mathematician, physicist, computer scientist, and polymath, regarded as the foremost mathematician of his time. During World War 2 at Los Alamos, his hydrogen bomb work was done using computing, where he and Stanisław Ulam developed simulations on von Neumann's digital computers for the hydrodynamic computations. Together, they developed the Monte Carlo method, finding solutions to complicated problems by making approximations using random numbers. For more about Von Neuman: Los Alamos during World War 2 include led many of the efforts for the development of nuclear weapons (Manhattan project), and was responsible for the design and overall coordination of development. The lab was only officially revealed to the public in the post-WW 2 era. Stanislaw Ulam (April 1909 - May 1984) was a Polish mathematician and nuclear physicist. Among many other accomplishments, he invented the Monte Carlo method of computation, and made the major realization that computers could be used to apply statistical methods to functions without known solutions. The ubiquitous software package used for MCMC, Stan, is named in honor of Stanislaw. For more about Stanislaw: A Markov chain is irreducible if it is possible to get to any state from any other state. The ENIAC was the first electronic general-purpose computer; it was Turing-complete, and digital. ![Imgur]( The simulated annealing algorithm is worth reading about, it is a probabilistic technique for approximating the global optimum of a given function, and is widely used, especially for combinatorial problems. For more: The MANIAC built under the direction of Nicholas Metropolis at the Los Alamos Scientific Laboratory and based on the von Neumann architecture of the IAS. The computer was used for atomic bomb design. ![]( Josiah Willard Gibbs (1839-1903) was an American scientist who among many many other things, helped create the field of statistical mechanics, which explains the laws of thermodynamics as consequences of the statistical properties of ensembles of the possible states of physical systems of many particles. For more: Christian Robert is a Professor at Université Paris-Dauphine (France) and part-time Professor at the University of Warwick, in their Department of Statistics. He is a former editor of the Journal of the Royal Statistical Society, and his work focuses on Bayesian and computational statistics. George Casella (January 1951 – June 2012) was a Distinguished Professor in the Department of Statistics at the University of Florida, and made major contributions to  Bayesian and empirical Bayes methods, helping to invent the Bayesian lasso. Julian Besag (March 1945 – August 2010) was a British statistician known for his work in spatial statistics, and Bayesian inference, and made major contributions to Markov Chain Monte Carlo algorithms. His 1986 paper "On the Statistical Analysis of Dirty Pictures" was the most cited paper by a UK mathematical scientist in the 1980s. For more: