In this paper we propose a new theory and methodology to tackle the problem of unifying Monte Carlo samples from distributed densities into a single Monte Carlo draw from the target density. This surprisingly challenging problem arises in many settings (for instance, expert elicitation, multiview learning, distributed ‘big data’ problems, etc.), but to date the framework and methodology proposed in this paper (Monte Carlo fusion) is the first general approach which avoids any form of approximation error in obtaining the unified inference. In this paper we focus on the key theoretical underpinnings of this new methodology, and simple (direct) Monte Carlo interpretations of the theory. There is considerable scope to tailor the theory introduced in this paper to particular application settings (such as the big data setting), construct efficient parallelised schemes, understand the approximation and computational efficiencies of other such unification paradigms, and explore new theoretical and methodological directions.
