A fast algorithm for generating a uniform distribution inside a high-dimensional polytope

Abstract

We describe a uniformly fast algorithm for generating points \vec{x} uniformly in a hypercube with the restriction that the difference between each pair of coordinates is bounded. We discuss the quality of the algorithm in the sense of its usage of pseudo-random source numbers, and present an interesting result on the correlation between the coordinates.

7 pages, cpu-time table added to illustrate efficiency

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