Running MCMC in R

I am now running a MCMC iteration in the R program. But it is 
always stucked in some loop. 

I never like it when folk just say "Please read and follow the posting guide referenced in every R help email" but ... please, read and follow the posting guide referenced in every R help email if you want any useful kind of answer.

In the mean time, it would have helped a lot to say
i) Is this a problem in your own code or in a contributed or core package?
ii) If not your own, in which package and which function?
iii) What does 'stuck' mean? Failing to converge (and according to what criterion)? Failing to complete a prescribed number of iterations? Failing to start? 

and also if you could have provided data and an example that would let someone see what is going on instead of trying to guess.

Failing that, however, the answers to your questions are

So I want to know whether we can skip the current 
dataset and move to next simulated data when the iteration is 
stucked? 

Yes, though the method of doing so will depend entirely on which function and which package you are using.

and

Alternatively, can the MCMC chain skip the current 
iteration when it is stucked and automatically to start 
another chain with different starting values.

Possibly, though the method of doing so will depend entirely on which function and which package you are using.

S

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