Algorithm

1. Start chain at with some initial value; Set s=0;
2. Propose from ;
3. Evaluate for each by integration;
4. Accept with probability then else ;
5. Repeat step 2 through 4 for and ;
6. s = s+1;

The integration in the algorithm is evaluated three times per sweep, and this is critical to the speed of the sampler. Evaluation of is not always necessary and is greatly simplified as demonstrated in the appendix in Section .