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Poster
in
Workshop: Bayesian Decision-making and Uncertainty: from probabilistic and spatiotemporal modeling to sequential experiment design

A Fast, Robust Elliptical Slice Sampling Method for Truncated Multivariate Normal Distributions

Kaiwen Wu · Jacob Gardner

Keywords: [ Truncated Normal Distributions; Elliptical Slice Sampling ]


Abstract: Elliptical slice sampling, when adapted to linearly truncated multivariate normal distributions, is a rejection-free Markov chain Monte Carlo method. At its core, it requires analytically constructing an ellipse-polytope intersection. The main novelty of this paper is an algorithm that computes this intersection in $\mathcal{O}(m \log m)$ time, where $m$ is the number of linear inequality constraints representing the polytope. We show that an implementation based on this algorithm enhances numerical stability, speeds up running time, and is easy to parallelize for launching multiple Markov chains.

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