Open Access
August 2018 Rapid mixing of geodesic walks on manifolds with positive curvature
Oren Mangoubi, Aaron Smith
Ann. Appl. Probab. 28(4): 2501-2543 (August 2018). DOI: 10.1214/17-AAP1365

Abstract

We introduce a Markov chain for sampling from the uniform distribution on a Riemannian manifold $\mathcal{M}$, which we call the geodesic walk. We prove that the mixing time of this walk on any manifold with positive sectional curvature $C_{x}(u,v)$ bounded both above and below by $0<\mathfrak{m}_{2}\leq C_{x}(u,v)\leq\mathfrak{M}_{2}<\infty$ is $\mathcal{O}^{*}(\frac{\mathfrak{M}_{2}}{\mathfrak{m}_{2}})$. In particular, this bound on the mixing time does not depend explicitly on the dimension of the manifold. In the special case that $\mathcal{M}$ is the boundary of a convex body, we give an explicit and computationally tractable algorithm for approximating the exact geodesic walk. As a consequence, we obtain an algorithm for sampling uniformly from the surface of a convex body that has running time bounded solely in terms of the curvature of the body.

Citation

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Oren Mangoubi. Aaron Smith. "Rapid mixing of geodesic walks on manifolds with positive curvature." Ann. Appl. Probab. 28 (4) 2501 - 2543, August 2018. https://doi.org/10.1214/17-AAP1365

Information

Received: 1 March 2017; Revised: 1 October 2017; Published: August 2018
First available in Project Euclid: 9 August 2018

zbMATH: 06974757
MathSciNet: MR3843835
Digital Object Identifier: 10.1214/17-AAP1365

Subjects:
Primary: 60J05
Secondary: 53D25 , 60J20 , 68W20

Keywords: Convex bodies , Hamiltonian Monte Carlo (HMC) , Manifolds , Markov chain Monte Carlo (MCMC) , momentum , Positive curvature

Rights: Copyright © 2018 Institute of Mathematical Statistics

Vol.28 • No. 4 • August 2018
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