mcmc_multi is a subclass of the mcmc class to create markov chain monte carlo simulations on multiple chains simultaneously.

One of IDL's principal weaknesses is that, since it is an interpreted scripting language, it is much slower than compiled languages for repetitive tasks like looping. The mcmc_multi class tries to mitigate this problem by vectorizing the mcmc code. In this class, multiple chains are run simultaneously and, assuming that the code which generates and evaluates trial links is vectorized well, this may be substantially faster than running one long mcmc chain.

To use this class, the user must supply ARRAYS for the seed and data variables when initializing the object. Each element in the array represents the seed/data for a particular chain. The final set of chains fetched from the getChain method will have nchain columns and nstep rows.

As with the mcmc class, the user must also override the logTargetDistribution and selectTrial methods in a subclass of mcmc_multi. These methods have the same signatures as in a normal mcmc object, but the inputs and outputs must now be arrays, not scalars. These objects should be written in a vectorized fashion, otherwise mcmc_multi will probably have no speed bost over mcmc.

Some quick testing showed that mcmc_multi was about a factor of 2 slower than mcmc when run using only 1 chain, but was 10x faster when comparing 100 chains to 1 chain with 100x as many steps.