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Hit-and-Run Algorithms for Generating Multivariate Distributions

Hit-and-Run Algorithms for Generating Multivariate Distributions

We introduce a general class of Hit-and-Run algorithms for generating essentially arbitrary absolutely continuous distributions on R d . They include the Hypersphere Directions algorithm and the Coordinate Directions algorithm that have been proposed for identifying nonredundant linear constraints and for generating uniform distributions over subsets of R d . …