Random sampling: Billiard Walk algorithm

Elena Gryazina, Boris Polyak

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)497-504
Number of pages8
JournalEuropean Journal of Operational Research
Volume238
Issue number2
DOIs
Publication statusPublished - 16 Oct 2014
Externally publishedYes

Keywords

  • Billiards
  • Hit-and-Run
  • Monte-Carlo
  • Sampling

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