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In certain applications involving the solution of a Bayesian inverse problem, it may not be possible or desirable to evaluate the full posterior, e.g.
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Cockayne, J., Oates, C., Sullivan, T. J., Girolami, M.: Bayesian probabilistic numerical methods. SIAM Rev. (2019) doi: 10.1137/17M1139357
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Dodwell, T. J., Ketelsen, C., Scheichl, R., Teckentrup, A. L.: Multilevel Markov Chain Monte Carlo. SIAM Rev. (2019) doi: 10.1137/19M126966X
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