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For \\(l\\geq 1\\) consider the equations \\(\\pi^{(l)}= \\Phi_l(\\pi^{(l-1)})\\) for some mappings \\(\\Phi_l:{\\mathcal P}(S^{(l-1)})\\to{\\mathcal P}(S^{(l)})\\). The authors develop a new class of interacting Markov chain Monte Carlo (i-MCMC) methods for a numerical approximation of the solution. At level \\(l=0\\) a Markov chain Monte Carlo (MCMC) algorithm is run to obtain a chain \\(X^{(0)}= (X^{(0)}_n)_{n\\geq 0}\\) targeting \\(\\pi^{(0)}\\). (The ``time'' index \\(n\\) corresponds to the number of iterations of the i-MCMC algorithm.) The occupation measure of the chain \\(X^{(0)}\\) at time \\(n\\) is used to design a second MCMC algorithm to generate \\(X^{(1)}= (X^{(1)}_n)_{n\\geq 0}\\) at level \\(1\\) targeting \\(\\pi^{(1)}\\): The elementary transition \\(X^{(1)}_n\\rightsquigarrow X^{(1)}_{n+1}\\) of the chain \\(X^{(1)}\\) at ``time'' \\(n\\) depends on the occupation measure of \\((X^{(0)}_0, X^{(0)}_1,\\dots, X^{(0)}_n)\\).  Similarly, the empirical measure of \\(X^{(l-1)}\\) at level \\(l-1\\) is used to ``feed'' an MCMC algorithm generating \\(X^{(l)}\\) targeting \\(\\pi^{(l)}\\) at level \\(l\\). Denote \\(\\overline X^{(m)}_n:= (X^{(0)}_n,\\dots, X^{(m)}_n)\\), \\(\\overline\\pi^{[m]}:= \\pi^{(1)}\\otimes\\cdots\\otimes \\pi^{(m)}\\), let \\(\\delta_{X,n,m}\\), \\(\\delta_{\\overline X,n,m}\\) be the Dirac measures at \\(X^{(m)}_n\\), \\(\\overline X^{(m)}_n\\), respectively, and set \\(\\eta^{[m]}_n:= (n+1)^{-1}\\cdot \\sum^n_{p=1} \\delta_{X,p,m}\\), \\(\\overline\\eta^{[m]}_n:= (n+1)^{-1}\\cdot \\sum^n_{p=1} \\delta_{\\overline X,p,m}\\).  The main results may then be written as follows: For every \\(r\\geq 1\\), \\(m\\geq 1\\), and any bounded measurable function \\(f\\) on \\(S^{(0)}\\times\\cdots\\times S^{(m)}\\) we have \\(\\sup_{n\\geq 1}\\sqrt{n}{\\mathbf E}(|\\overline\\eta^{[m]}_n(f)- \\overline\\pi^{[m]}(f)|^r)< \\infty\\) and, under additional regularity conditions,  \\[ \\forall t\\limsup_{n\\to\\infty}(1/n)\\log{\\mathbf P}(|\\overline\\eta^{[m]}_n(f)- \\overline\\pi^{[m]}(f)|> 1)< -t^2/2\\overline\\sigma^2_m \\]  with some positive constant \\(\\overline\\sigma<\\infty\\).  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