Gradient Scan Gibbs Sampler: An Efficient Algorithm for High-Dimensional Gaussian Distributions.

This paper deals with Gibbs samplers that include high dimensional conditional Gaussian distributions. It proposes an efficient algorithm that avoids the high dimensional Gaussian sampling and relies on a random excursion along a small set of directions. The algorithm is proved to converge, i.e., the drawn samples are asymptotically distributed according to the target distribution. Our main motiva...