Our goal is to sample from the Laplace distribution conditioned on a linear subspace. Here are the details of this problem.

Let $$p(x) \propto \exp(-\|x\|_1/\sigma)$$ be the pdf of the Laplace distribution, where $x = (x_1, \dots, x_d)\in \mathbb{R}^d$. Consider the conditional distribution $p(x\,|\,\sum^d_{i = 1}x_i = 0)$, which is the Laplace distribution $p(x)$ supported on the linear subspace $\sum^d_{i = 1}x_i = 0$.

How does $p(x\,|\,\sum^d_{i = 1}x_i = 0)$ look like? Also, how do we sample from $p(x\,|\,\sum^d_{i=1}x_i)$?

  • $\begingroup$ Isn’t the event being conditioned on of measure zero? $\endgroup$ – Nawaf Bou-Rabee Dec 22 '18 at 20:18
  • $\begingroup$ @NawafBou-Rabee I think the op means that conditional density restricted to the linear subspace. Since the domain is also of measure zero in $R^d$, you can still define density. $\endgroup$ – Minkov Dec 23 '18 at 6:30

Let $n:=d$. By rescalling, without loss of generality $\sigma=1$. Let $X_1,\dots,X_n$ be iid random variables (r.v.'s) with the standard Laplace distribution, so that the joint pdf of $X:=(X_1,\dots,X_n)$ is \begin{equation} f_X(x)=\frac1{2^n}\,\exp\Big\{-\sum_1^n|x_i|\Big\} \end{equation} for $x=(x_1,\dots,x_n)$. Let $Y_1:=X_1+\dots+X_n$, $Y_2:=X_2,\dots,Y_n:=X_n$, so that $X_1=Y_1-Y_2-\dots-Y_n$, $X_2=Y_2,\dots,X_n=Y_n$. So, $X=(X_1,\dots,X_n)$ and $Y:=(Y_1,\dots,Y_n)$ are related by an invertible linear transformation of determinant $1$. Therefore, using transformation technique for systems of r.v.'s/change of variables in multi-fold integrals, we see that the joint pdf of $Y=(Y_1,\dots,Y_n)$ is \begin{multline} f_Y(y)=f_X(y_1-y_2-\dots-y_n, y_2,\dots,y_n) \\ =\frac1{2^n}\,\exp\Big\{-|y_1-y_2-\dots-y_n|-\sum_2^n|y_i|\Big\} \end{multline} for $y=(y_1,\dots,y_n)$. Therefore, the joint distribution of $X=(X_1,\dots,X_n)$ given that $X_1+\dots+X_n=0$ is determined by the conditional joint pdf of $(Y_2,\dots,Y_n)$ given $Y_1=0$, which is given by the expression \begin{equation} f_{Y_2,\dots,Y_n|Y_1=0}(y_2,\dots,y_n)=\frac{f_Y(0,y_2,\dots,y_n)}{f_{Y_1}(0)}, \end{equation} where $f_{Y_1}$ is the pdf of $Y_1$.

So, to complete the calculation of $f_{Y_2,\dots,Y_n|Y_1=0}(y_2,\dots,y_n)$, it remains to compute $f_{Y_1}(0)$. This can be done quickly by using characteristic functions (c.f.'s). Indeed, the c.f. of $X_1$ is given by \begin{equation} \phi(t)=\int_{-\infty}^\infty e^{itx}\frac1{2}\,e^{-|x|}\,dx=\frac1{1+t^2} \end{equation} for real $t$. Hence, the c.f. of $Y_1=X_1+\dots+X_n$ is $t\mapsto\frac1{(1+t^2)^n}$ and \begin{equation} f_{Y_1}(0)=\frac1{2\pi}\int_{-\infty}^\infty e^{-it0}\frac{dt}{(1+t^2)^n} =2^{-2 n-1} \binom{2 n}{n}. \end{equation}

Thus, the conditional joint pdf of $(Y_2,\dots,Y_n)$ given $Y_1=0$ is \begin{equation} 2^{n+1}\exp\Big\{-|y_2+\dots+y_n|-\sum_2^n|y_i|\Big\}\Big/\binom{2 n}{n}. \end{equation}

To simulate this distribution, one can use Markov chain Monte Carlo methods.


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