A GPU friendly Metropolis algorithm

Just came across this paper on parallelizing the Independent Metropolis Hastings (IMH) algorithm: http://xianblog.wordpress.com/2010/10/12/parallel-processing-of-independent-metropolis-hastings-algorithms/

The fundamental idea in the current paper is that one can take advantage of the parallel abilities of arbitrary computing machinery, from cloud computing to graphical cards (GPU), in the case of the generic IMH algorithm, producing an output that corresponds to a much improved Monte Carlo approximation machine at the same computational cost.

This could be very interesting for all the GPU renderers out there.