Laboratory of Structural Methods of Data Analysis in Predictive
Modeling Moscow Institute of Physics and Technology
Random sampling: randomized billiards
Hit-and-Run is known to be one of the best random sampling algorithms, its mixing time is polynomial in dimension. Nevertheless, in practice the number of steps required to achieve uniformly distributed samples is rather high. We propose new random walk algorithm that performs much faster

Авторы: Polyak Boris , Gryazina, E

Дата: 17 ноября 2014

Статус: опубликована

Журнал: European Journal of Operational Research

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Направления исследований

Stochastic optimization and optimal stopping

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