Complexity Analysis of a Sampling-Based Interior Point Method for Convex Optimization

Abstract

We develop a short-step interior point method to optimize a linear function over a convex body assuming that one only knows a membership oracle for this body. The approach is based a sketch of a universal interior point method using the so-called entropic barrier. It is well known that the gradient and Hessian of the entropic barrier can be approximated by sampling from Boltzmann-Gibbs distributions and the entropic barrier was shown to be self-concordant. The analysis of our algorithm uses properties of the entropic barrier, mixing times for hit-and-run random walks, approximation quality guarantees for the mean and covariance of a log-concave distribution, and results on inexact Newton-type methods.