Randomized Interior Point methods for Sampling and Optimization

TL;DR

This paper introduces a Markov chain called Dikin walk for sampling and optimizing over convex sets, with polynomial mixing time that is affine-invariant, extending previous results to more general convex bodies.

Contribution

It develops an affine-invariant Markov chain for sampling and optimization on convex sets, generalizing prior methods and providing new bounds on mixing times using isoperimetric inequalities.

Findings

Dikin walk mixes rapidly on convex sets with polynomial time bounds.

The method extends to general convex bodies beyond polytopes.

Convergence to optimal solutions is achieved with high probability in polynomial time.

Abstract

We present a Markov chain (Dikin walk) for sampling from a convex body equipped with a self-concordant barrier, whose mixing time from a "central point" is strongly polynomial in the description of the convex set. The mixing time of this chain is invariant under affine transformations of the convex set, thus eliminating the need for first placing the body in an isotropic position. This recovers and extends previous results of from polytopes to more general convex sets. On every convex set of dimension $n$, there exists a self-concordant barrier whose "complexity" is polynomially bounded. Consequently, a rapidly mixing Markov chain of the kind we describe can be defined on any convex set. We use these results to design an algorithm consisting of a single random walk for optimizing a linear function on a convex set. We show that this random walk reaches an approximately optimal point in polynomial time with high probability and that the corresponding objective values converge with probability 1 to the optimal objective value as the number of steps tends to infinity. One technical contribution is a family of lower bounds for the isoperimetric constants of (weighted) Riemannian manifolds on which, interior point methods perform a kind of steepest descent. Using results of Barthe \cite{barthe} and Bobkov and Houdr\'e, on the isoperimetry of products of (weighted) Riemannian manifolds, we obtain sharper upper bounds on the mixing time of Dikin walk on products of convex sets than the bounds obtained from a direct application of the Localization Lemma, on which, since (Lov\'asz and Simonovits), the analyses of all random walks on convex sets have relied.