Slice Sampling
Slice sampling has similarities to Gibbs sampling, Rejection Sampling
and the Metropolis-Hastings method. The advantage over simple
Metropolis-Hastings methods is that it is robust to the choice of
parameters. Like rejection sampling, it asymptotically draws samples
from volume under the curve
A good treatment of slice sampling can be found in Mackay’s Book Information Theory, Inference and Learning Algorithms.