Interacting Particle Markov Chain Monte Carlo
  We introduce interacting particle Markov chain Monte Carlo (iPMCMC), a PMCMC method based on an interacting pool of standard and conditional sequential Monte Carlo samplers. Like related methods, iPMCMC is a Markov chain Monte Carlo sampler on an extended space. We present empirical results that show significant improvements in mixing rates relative to both non-interacting PMCMC samplers, and a single PMCMC sampler with an equivalent memory and computational budget. An additional advantage of the iPMCMC method is that it is suitable for distributed and multi-core architectures. 
Tom Rainforth, Christian A. Naesseth, Fredrik Lindsten, Brooks Paige,   Jan-Willem van de Meent, Arnaud Doucet, Frank Wood
stat.CO stat.ML