I particularly like the suggestion of not doing burn-in and instead starting your chain where the last one ended.

Is that not simply doing a burn-in of many thousands?

Fully agree with everyone else. The argument "asymptotically the burn in doesn't matter so don't do it" misses a few key points -- like about how I'm not going to get to the limit, and I certainly won't _know_ I get to the limit.

NO! The point of multiple chains is to test for convergence. If you start four chains at four random points in probability space and they all converge to same distribution, you can be confident in the result, but many times that fails to occur. This is what the rhat diagnostic shows. If you calculate rhat with one big chain it will mislead you. This is terrible advice.

New book by thedeepdish.org. Looks at how option value is critical in all domains of life.