Rapidly mixing chain and perfect sampler for logarithmic separable concave distributions on simplex - Inria - Institut national de recherche en sciences et technologies du numérique
Communication Dans Un Congrès Discrete Mathematics and Theoretical Computer Science Année : 2005

Rapidly mixing chain and perfect sampler for logarithmic separable concave distributions on simplex

Résumé

In this paper, we are concerned with random sampling of an n dimensional integral point on an $(n-1)$ dimensional simplex according to a multivariate discrete distribution. We employ sampling via Markov chain and propose two "hit-and-run'' chains, one is for approximate sampling and the other is for perfect sampling. We introduce an idea of alternating inequalities and show that a logarithmic separable concave function satisfies the alternating inequalities. If a probability function satisfies alternating inequalities, then our chain for approximate sampling mixes in $\textit{O}(n^2 \textit{ln}(Kɛ^{-1}))$, namely $(1/2)n(n-1) \textit{ln}(K ɛ^{-1})$, where $K$ is the side length of the simplex and $ɛ (0<ɛ<1)$ is an error rate. On the same condition, we design another chain and a perfect sampler based on monotone CFTP (Coupling from the Past). We discuss a condition that the expected number of total transitions of the chain in the perfect sampler is bounded by $\textit{O}(n^3 \textit{ln}(Kn))$.
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Dates et versions

hal-01184209 , version 1 (13-08-2015)

Identifiants

Citer

Shuji Kijima, Tomomi Matsui. Rapidly mixing chain and perfect sampler for logarithmic separable concave distributions on simplex. 2005 International Conference on Analysis of Algorithms, 2005, Barcelona, Spain. pp.371-382, ⟨10.46298/dmtcs.3374⟩. ⟨hal-01184209⟩

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