Are there any good summaries (reviews, books) on various applications of Markov chain Monte Carlo (MCMC)?

I've seen Markov Chain Monte Carlo in Practice, but this books seems a bit old.

Are there more update books on various applications of MCMC in areas such as machine leearning, computer vision, and computational biology?


3 Answers 3


Yes the Handbook of MCMC is a very up-to-date collection of papers on MCMC, Also the book by Robert and Casella is a more current account than Markov Chain Monte Carlo in Practice. But I think MCMC in Practice is really a good place to start learning the subject. Here are amazon links to descriptions of the books I mentioned above.

Introducing Monte Carlo Methods with R

Handbook of Markov Chain Monte Carlo


I found this article to be a good review/primer on MCMC for machine learning:

An Introduction to MCMC for Machine Learning - Andrieu, de Freitas, Doucet & Jordan (2003).


SAS 9.3 now provides proc mcmc with a detailed documentation (as usual!). No fewer than 19 examples illustrate that new bayesian procedure. Simple linear regression models, linear and non-linear mixed models, but also Cox models and many other types of analysis are covered.

Strictly speaking, this is not a book... but it is definitively a gold mine of applications ;-)


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