Accelerated convergence in Hit-and-Run Monte Carlo and a coordinate-free randomized Kaczmarz algorithm
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DOI: 10.1214/25-ejp1418
Abstract: Hit-and-Run is a coordinate-free Gibbs sampler, yet the quantitative advantages of its coordinate-free property remain largely unexplored beyond empirical studies. In this paper, we prove sharp estimates for the Wasserstein contraction of Hit-and-Run in Gaussian… read more here.
Keywords: randomized kaczmarz; accelerated convergence; kaczmarz algorithm; coordinate free ... See more keywords