On the mixing time of coordinate Hit-and-Run
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We obtain a polynomial upper bound on the mixing time T_CHR(ϵ) of the coordinate Hit-and-Run random walk on an n-dimensional convex body, where T_CHR(ϵ) is the number of steps needed in order to reach within ϵ of the uniform distribution with respect to the total variation distance, starting from a warm start (i.e., a distribution which has a density with respect to the uniform distribution on the convex body that is bounded above by a constant). Our upper bound is polynomial in n, R and 1/ϵ, where we assume that the convex body contains the unit ‖·‖_∞-unit ball B_∞ and is contained in its R-dilation R· B_∞. Whether coordinate Hit-and-Run has a polynomial mixing time has been an open question.
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