Random sampling: Billiard Walk algorithm

Hit-and-Run is known to be one of the best random sampling algorithms, its mixing time is polynomial in dimension. However in practice, the number of steps required to obtain uniformly distributed samples is rather high. We propose a new random walk algorithm based on billiard trajectories. Numerical experiments demonstrate much faster convergence to the uniform distribution.

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Year of publication:	2014
Authors:	Gryazina, Elena ; Polyak, Boris
Published in:	European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 238.2014, 2, p. 497-504
Publisher:	Elsevier
Subject:	Sampling \| Monte-Carlo \| Hit-and-Run \| Billiards

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010871221