efficient MCMC sampling

Maxime Vono, Daniel Paulin and Arnaud Doucet recently arXived a paper about a regularisation technique that allows for efficient sampling from a complex posterior which potential function factorises as a large sum of transforms of linear projections of the parameter θ

U(\theta)=\sum_i U_i(A_i\theta)

The central idea in the paper [which was new to me] is to introduce auxiliary variates for the different terms in the sum, replacing the projections in the transforms, with an additional regularisation forcing these auxiliary variates to be as close as possible from the corresponding projection

U(\theta,\mathbf z)=\sum_i U_i(z_i)+\varrho^{-1}||z_i-A_i\theta||^2

This is only an approximation to the true target but it enjoys the possibility to run a massive Gibbs sampler in quite a reduced dimension. As the variance ρ of the regularisation term goes to zero the marginal posterior on the parameter θ converges to the true posterior. The authors manage to achieve precise convergence rates both in total variation and in Wasserstein distance.

From a practical point of view, only judging from the logistic example, it is hard to fathom how much this approach improves upon other approaches (provided they still apply) as the impact of the value of ρ should be assessed on top of the convergence of the high-dimensional Gibbs sampler. Or is there an annealing version in the pipe-line? While parallelisation is a major argument, it also seems that the Gibbs sampler need a central monitoring for each new simulation of θ. Unless some asynchronous version can be implemented.