At CRAN (package mcmc).
This web page is about an R package for doing simple, but general MCMC. It does random-walk Metropolis for an arbitrary continuous distribution on Rd specifed by an unnormalized density computed by a user-supplied R function.
Since version 0.9-3 it has included functions written by Leif Johnson that implement geometrically ergodic MCMC via parameter transformation. This was the subject of a paper in the Annals of Statistics.
For more info see the package vignettes
temper, which does both parallel tempering (also called Metropolis-coupled MCMC or (MC)3) and serial tempering (also called simulated tempering).
initseq, which computes Monte Carlo standard errors using the
initial sequencemethods of Geyer (1992, Statistical Science).
tells me he has reimplemented the R function
initseq in Matlab.
That code is here.
Not just about this package, but made to go with it are the slides for the talk given at the Institute for Mathematics and its Application Sep 16, 2003
In a separate package
at CRAN (package potts),
is an implementation of the Swendsen-Wang algorithm for Potts models.