Random sampling: Billiard Walk algorithm

Elena Gryazina and Boris Polyak

European Journal of Operational Research, 2014, vol. 238, issue 2, 497-504

Abstract: 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.

Keywords: Sampling; Monte-Carlo; Hit-and-Run; Billiards (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:238:y:2014:i:2:p:497-504

DOI: 10.1016/j.ejor.2014.03.041

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