Reviews: Clone MCMC: Parallel High-Dimensional Gaussian Gibbs Sampling

This paper proposes a new parallel approximate sampler for high-dimensional Gaussian distributions. The algorithm is a special case of a larger class of iterative samplers based on a transition equation (2) and matrix splitting that is analysed in [9]. The algorithm is similar to the Hogwild sampler in term of the update formula and the way of bias analysing, but it is more flexible in the sense that there is a scalar parameter to trade-off the bias and variance of the proposed sampler. I appreciate the detailed introduction about the mathematical background of the family of sampling algorithms and related works. It is also easy to follow the paper and understand the merit of the proposed algorithm. The illustration of the decomposition of the variance and bias in Figure 1 gives a clear explanation about the role of \eta.