PolytopeWalk: Sparse MCMC Sampling over Polytopes

Code

• github.com/ethz-randomwalk/polytopewalk
  OfficialIn papernone★ 16

Abstract

High dimensional sampling is an important computational tool in statistics and other computational disciplines, with applications ranging from Bayesian statistical uncertainty quantification, metabolic modeling in systems biology to volume computation. We present PolytopeWalk, a new scalable Python library designed for uniform sampling over polytopes. The library provides an end-to-end solution, which includes preprocessing algorithms such as facial reduction and initialization methods. Six state-of-the-art MCMC algorithms on polytopes are implemented, including the Dikin, Vaidya, and John Walk. Additionally, we introduce novel sparse constrained formulations of these algorithms, enabling efficient sampling from sparse polytopes of the form K_2 = R^d \ | \ Ax = b, x _k 0\. This implementation maintains sparsity in A, ensuring scalability to high dimensional settings (d > 10^5). We demonstrate the improved sampling efficiency and per-iteration cost on both Netlib datasets and structured polytopes. PolytopeWalk is available at github.com/ethz-randomwalk/polytopewalk with documentation at polytopewalk.readthedocs.io .

Tasks

Reproductions