Efficient Sampling from Time-Varying Log-Concave Distributions

23 Sep 2013Hariharan NarayananAlexander Rakhlin

We propose a computationally efficient random walk on a convex body which rapidly mixes and closely tracks a time-varying log-concave distribution. We develop general theoretical guarantees on the required number of steps; this number can be calculated on the fly according to the distance from and the shape of the next distribution... (read more)

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