Work

The Riemannian Langevin equation and conic programs

Year: 2025

Type: article

Abstract: Every regular convex cone $K \subset \mathbb{R}^{n+1}$ has a canonical barrier $F$ and a canonical Hessian metric $g=D^2F$. We study the Riemannian Langevin equation on $(K,g)$, establishing several relations between Brownian motion on $(K,g)$ and $F$. Explicit formulas are presented for some fundamental cones, including the Lorentz cone.

Source: Bulletin of the Institute of Mathematics Academia Sinica NEW SERIES

DOI: 10.21915/bimas.2025302

Authors: Menon Govind, Yu Tianmin

Language: English

Topic: Advanced Optimization Algorithms Research

Subfield: Numerical Analysis

Field: Mathematics

Domain: Physical Sciences

Open Access status: diamond

OpenAlex ID: W4413895770

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