C++ implementation with python wrapper of Vaidya walk and John walk introduced by the paper "Fast MCMC Algorithms on Polytopes" https://arxiv.org/abs/1710.08165 by Yuansi Chen, Raaz Dwivedi, Martin J. Wainwright, Bin Yu
- To install the package to default python
pip install .- Import the library
import polytopewalk- Example
import polytopewalk as pw
# dimension
d = 2
(A, b) = pw.define_polytope(d, rep=0)
# radius
r = 0.5
nb_samples = 10
nb_iters = 20
# generate samples with vaidya and john walk
samples_vaidya = pw.run_vaidya_walk(nb_samples, nb_iters, A, b, r)
samples_john = pw.run_john_walk(nb_samples, nb_iters, A, b, r)Code is released under MIT License. Please cite the following paper if the code helps your research:
@article{chen2018fast,
title={Fast MCMC sampling algorithms on polytopes},
author={Chen, Yuansi and Dwivedi, Raaz and Wainwright, Martin J and Yu, Bin},
journal={The Journal of Machine Learning Research},
volume={19},
number={1},
pages={2146--2231},
year={2018},
publisher={JMLR. org}
}