Is there an easy way to use PyMC's MCMC algorithms to efficiently sample a parameter space for a frequentists analysis? I'm not interested in the point density (for Bayesian analysis), but rather want a fast and efficient way to sample a multidimensional parameter space, so I would like to trace all tested points (i.e. in particular also the rejected points), while recurring points need to be saved only once in the trace.
I would be grateful for any helpful comments. 
Btw, thanks for developing PyMC, it is a great package!
You can create custom StepMethods to perform any kind of sampling you like. See the docs for how to create your own.
Using MCMC from PyMC as an efficient sampler for frequentist analysis?