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.combine in foreach

There are some multiple chain, multiple model MCMC specifications
using RMPI/snow in my papers.  Replication info and example code is
available at

http://www.utdallas.edu/~pbrandt/pbrandt/Replication.html

See specifically the zip/tarballs with R code for the Brandt,
Colaresi, and Freeman (2008) paper (there are some custom functions
that will give you back coda mcmc.lists across models -- some of this
is now in my MSBVAR pkg).  The Brandt and Freeman (2009) papers does
parallel chains using rmpi/snow.

For MCMC-like analysis I have found that using snow works best, esp.
if the models work in similar run times.  If you have multiple models
/ specifications that are going to run in different run-times (e.g.,
longer v. shorter samplers, or MH-steps that become progressively more
complex across specifications), I have some example code that I can
share off list (it is not ready for release, so please email me if you
are interested) , then you may want to look at clusterApplyLB() to
calling the models.

PTB