A Short History of Markov Chain Monte Carlo: Subjective Recollections from Incomplete Data

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 development of this methodology has not only changed our solutions to problems, but has changed the way we think about problems.

Published in at http://dx.doi.org/10.1214/10-STS351 the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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