Hit-and-run for numerical integration
Probability
2014-12-03 v1 Numerical Analysis
Abstract
We study the numerical computation of an expectation of a bounded function with respect to a measure given by a non-normalized density on a convex body. We assume that the density is log-concave, satisfies a variability condition and is not too narrow. We consider general convex bodies or even the whole and show that the integration problem satisfies a refined form of tractability. The main tools are the hit-and-run algorithm and an error bound of a multi run Markov chain Monte Carlo method.
Cite
@article{arxiv.1212.4486,
title = {Hit-and-run for numerical integration},
author = {Daniel Rudolf},
journal= {arXiv preprint arXiv:1212.4486},
year = {2014}
}