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John’s walk

Part of: Markov processes

Published online by Cambridge University Press:  10 November 2022

Adam Gustafson  and
Hariharan Narayanan Open the ORCID record for Hariharan Narayanan [Opens in a new window]
Adam Gustafson*
Affiliation:
Microsoft Corporation
Hariharan Narayanan*
Affiliation:
TIFR Mumbai
*
*Email address: adam.marc.gustafson@gmail.com
**Email address: hariharan.narayanan@tifr.res.in
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Abstract

We present an affine-invariant random walk for drawing uniform random samples from a convex body $\mathcal{K} \subset \mathbb{R}^n$ that uses maximum-volume inscribed ellipsoids, known as John’s ellipsoids, for the proposal distribution. Our algorithm makes steps using uniform sampling from the John’s ellipsoid of the symmetrization of $\mathcal{K}$ at the current point. We show that from a warm start, the random walk mixes in ${\widetilde{O}}\!\left(n^7\right)$ steps, where the log factors hidden in the ${\widetilde{O}}$ depend only on constants associated with the warm start and desired total variation distance to uniformity. We also prove polynomial mixing bounds starting from any fixed point x such that for any chord pq of $\mathcal{K}$ containing x, $\left|\log \frac{|p-x|}{|q-x|}\right|$ is bounded above by a polynomial in n.

Keywords

Random walkconvex bodyJohn’s ellipsoid

MSC classification

Primary: 60J05: Discrete-time Markov processes on general state spaces
Type
Original Article
Information
Advances in Applied Probability , Volume 55 , Issue 2 , June 2023 , pp. 473 - 491
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Copyright
© The Author(s), 2022. Published by Cambridge University Press on behalf of Applied Probability Trust

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