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The Rosenbrock function is an ubiquitous benchmark problem for numerical optimisation, and variants have been proposed to test the performance of Markov Chain Monte Carlo algorithms.
Equation of State Calculations by Fast Computing Machines
Metropolis, N.; Rosenbluth, A. W.; Rosenbluth, M. N.; Teller, A. H. and Teller, E · 1953
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An Automatic Method for Finding the Greatest or Least Value of a Function
Rosenbrock, H. H · 1960
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Hybrid Monte Carlo
Duane, S.; Kennedy, A. D.; Pendleton, B. J. and Roweth, D · 1987
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Sampling-based approaches to calculating marginal densities
Gelfand, A. E. and Smith, A. F. M · 1990
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Bayesian Model Choice: Asymptotics and Exact Calculations
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Marginal Likelihood from the Gibbs Output
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Green, P. J · 1995
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Computing Bayes Factors by Combining Simulation and Asymptotic Approximations
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Optimal Scaling of Discrete Approximations to Langevin Diffusions
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A General Metric for Riemannian Manifold Hamiltonian Monte Carlo
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