Publicly available software implementations

Ensemble Quasi-Newton
C. Matthews (I am NOT an author)
This code implements the ensemble quasi-Newton MCMC methods introduced in the paper with Ben Leimkuhler and Charles Matthews.

Fast Randomized Iteration
J. Dama, J. Weare
This code implements one of the Fast Randomized Iteration methods introduced in the paper with Lek-Heng Lim to find the dominant eigenvalue of the transfer matrix for the 2D Ising model.

The Enhanced Sampling Toolkit
J.~Tempkin (I am NOT an author)

The Enhanced Sampling Toolkit provides a flexible and extensible toolkit for rapidly prototyping rare event simulation algorithms.  The code is written entirely in Python and acts as a wrapper to various well-established molecular dynamics codes.

A generic educational implementation of the Ticketed Diffusion Monte Carlo algorithm in C++
J. Dama (I am NOT an author)
This code implements the scheme proposed in the Improved diffusion Monte Carlo paper with Hairer.

emcee: The MCMC Hammer
D. Foreman-Mackey, D. Hogg, D. Lang, J. Goodman (I am NOT an author)  pdf
This code implements an affine invariant ensemble MCMC scheme proposed in my papers with Goodman.