I was reading Christian Robert's Blog today and quite liked the new Metropolis-Hastings algorithm he was discussing. It seemed simple and easy to implement.
Whenever I code up MCMC, I tend to stick with very basic MH algorithms, such as independent moves or random walks on the log scale.
What MH algorithms do people routinely use? In particular:
- Why do you use them?
- In some sense you must think that they are optimal - after all you use them routinely! So how do you judge optimality: ease-of-coding, convergence, ...
I'm particularly interested in what is used in practice, i.e. when you code up your own schemes.