  We propose an adaptive Metropolis-Hastings algorithm in which sampled data
are used to update the proposal distribution. We use the samples found by the
algorithm at a particular step to form the information-theoretically optimal
mean-field approximation to the target distribution, and update the proposal
distribution to be that approximatio. We employ our algorithm to sample the
energy distribution for several spin-glasses and we demonstrate the superiority
of our algorithm to the conventional MH algorithm in sampling and in annealing
optimization.
