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Improved polytope volume calculations based on Hamiltonian Monte Carlo with boundary reflections and sweet arithmetics

Abstract : Computing the volume of a high dimensional polytope is a fundamental problem in geometry, also connected to the calculation of densities of states in statistical physics, and a central building block of such algorithms is the method used to sample a target probability distribution. This paper studies Hamiltonian Monte Carlo (HMC) with reflections on the boundary of a domain, providing an enhanced alternative to Hit-and-run (HAR) to sample a target distribution restricted to the polytope. We make three contributions. First, we provide a convergence bound, paving the way to more precise mixing time analysis. Second, we present a robust implementation based on multi-precision arithmetic, a mandatory ingredient to guarantee exact predicates and robust constructions. We however allow controlled failures to happen, introducing the Sweeten Exact Geometric Computing (SEGC) paradigm. Third, we use our HMC random walk to perform H-polytope volume calculations, using it as an alternative to HAR within the volume algorithm by Cousins and Vempala. The systematic tests conducted up to dimension $n$ = 100 on the cube, the isotropic and the standard simplex show that HMC significantly outperforms HAR both in terms of accuracy and running time. Additional tests show that calculations may be handled up to dimension $n$ = 500. These tests also establish that multiprecision is mandatory to avoid exits from the polytope.
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https://hal.inria.fr/hal-03048725
Contributor : Frederic Cazals Connect in order to contact the contributor
Submitted on : Thursday, October 7, 2021 - 3:50:56 PM
Last modification on : Saturday, October 9, 2021 - 4:05:22 AM

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  • HAL Id : hal-03048725, version 4

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  • is version of hal-01919855 - Version antérieure du document

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Augustin Chevallier, Sylvain Pion, Frédéric Cazals. Improved polytope volume calculations based on Hamiltonian Monte Carlo with boundary reflections and sweet arithmetics. 2021. ⟨hal-03048725v4⟩

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