RANDOMIZED INTERIOR POINT METHODS FOR SAMPLING AND OPTIMIZATION
RANDOMIZED INTERIOR POINT METHODS FOR SAMPLING AND OPTIMIZATION
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Publisher
Hayward: Institute of Mathematical Statistics
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Language
English
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Hayward: Institute of Mathematical Statistics
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Contents
We present a Markov chain, "Dikin walk," for sampling from a convex body equipped with a self-concordant barrier. This Markov chain corresponds to a natural random walk with respect to a Riemannian metric defined using the Hessian of the barrier function. For every convex set of dimension n, there exists a self-concordant barrier whose self-concord...
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Full title
RANDOMIZED INTERIOR POINT METHODS FOR SAMPLING AND OPTIMIZATION
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TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_aoap_1452003248
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_aoap_1452003248
Other Identifiers
ISSN
1050-5164
E-ISSN
2168-8737
DOI
10.1214/15-AAP1104
