Abstract
To simulate a multivariate density with multi-hump, Markov chain Monte Carlo method encounters the obstacle of escaping from one hump to another, since it usually takes extraordinately long time and then becomes practically impossible to perform. To overcome these difficulties, a reversible scheme to generate a Markov chain, in terms of which the simulated density may be successful in rather general cases of practically avoiding being trapped in local humps, was suggested.
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Gong, G., Qian, M. & Xie, J. Reversible algorithm of simulating multivariate densities with multi-hump. Sci. China Ser. A-Math. 44, 357–364 (2001). https://doi.org/10.1007/BF02878717
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DOI: https://doi.org/10.1007/BF02878717