Re:Information Theory, Inference, and Learning Algorithms (f...
by npk on Wednesday September 30, 2009 @09:28PM
(#854129)
If you want to learn how to implement MCMC I recommend:
Bayesian Logical Analysis Physical Sciences by Gregory
Gregory's book explains a lot more of the engineering (autocorrelations, step size jumping, etc..). Even better, it discusses how to perform model selection using a clever annealing technique. Though model selection may not be of interest to you.
ps - MacKay's book is my nightly reading, so I'm not dissing MacKay :)
Note: I'm buying it entirely because it has wide margins. Many of the calculations he outlines deserve to be worked out in full. Wide margins are absolutely the most important publishing concern for a math/science/engineering-based text.