Randomized Interior Point Methods for Sampling and Optimization
Microsoft
Randomized Interior Point Methods for Sampling and Optimization
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 ...
Jun 24, 2015
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