Random sampling: Billiard Walk algorithm

被引：10
|
作者：
Gryazina, Elena [1 ]
Polyak, Boris [1 ,2 ]
机构：
[1] RAS, Inst Control Sci, Moscow 117901, Russia
[2] Moscow Inst Phys & Technol, Lab Struct Methods Data Anal Predict Modeling, Moscow, Russia
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2014年 / 238卷 / 02期
关键词：
Sampling; Monte-Carlo; Hit-and-Run; Billiards; POINTS; VOLUME;
D O I：
10.1016/j.ejor.2014.03.041
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
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. (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码：497 / 504
页数：8
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