How do I feasibly generate a random sample from an $n$dimensional $\ell_p$ ball? Specifically, I'm interested in $p=1$ and large $n$. I'm looking for descriptions analogous to the statement for $p=2$: Take $n$ standard gaussian random variables and normalize.

$\begingroup$ There's an obvious map from the $\ell_2$ ball to the $\ell_1$ ball. Does that not work for you? What kind of distribution do you want? $\endgroup$– Qiaochu YuanDec 17 '09 at 17:27

$\begingroup$ I'm interested in the uniform distribution. If by "obvious map" you mean rescaling, then that wouldn't work. $\endgroup$– MitchDec 17 '09 at 17:38
For arbitrary p, this paper does exactly what you want. Specifically, pick $X_1,\ldots,X_n$ independently with density proportional to $\exp(x^p)$, and $Y$ an independent exponential random variable with mean 1. Then the random vector $$\frac{(X_1,\ldots,X_n)}{(Y+\sum X_i^p)^{1/p}}$$ is uniformly distributed in the unit ball of $\ell_p^n$.
The paper also shows how to generate certain other distributions on the $\ell_p^n$ ball by modifying the distribution of $Y$.

3$\begingroup$ This is the natural answer to the problem. It directly generalizes the Gaussian point method for $p=2$. $\endgroup$ Dec 17 '09 at 19:40

$\begingroup$ Is there a way to sample exactly from $\exp(x^p)$ for $p>2$? or should I just use slice sampling or other MCMC method? $\endgroup$– gwdingFeb 1 '18 at 20:30

$\begingroup$ @gwding: I'm not an expert on random number generation, and I'm really not sure what the done thing is when (as in this case) there's no simple formula for the cdf. $\endgroup$ Feb 1 '18 at 21:38
I'll assume that you're looking for a uniformly chosen random point in the ball, since you didn't state otherwise. For p=1, you're asking for a uniform random point in the cross polytope in n dimensions. That is the set
$ C_n = \{ x_1, x_2, \ldots, x_n \in \mathbb{R} : x_1 + \cdots + x_n \le 1 \}. $
By symmetry, it suffices to pick a random point $(X_1, \ldots, X_n)$ from the simplex
$ S_n = \{ x_1, x_2, \ldots, x_n \in \mathbb{R}^+ : x_1 + \cdots + x_n \le 1 \}$
and then flip $n$ independent coins to attach signs to the $x_i$.
From Devroye's book Nonuniform random variable generation (freely available on the web at the link above, see p. 207 near the beginning of Chapter 5), we can pick a point in the simplex uniformly at random by the following procedure:
 let $U_1, \ldots, U_n$ be iid uniform(0,1) random variables
 let $V_1, \ldots, V_n$ be the $U_i$ reordered so that $V_1 \le V_2 \le \cdots \le V_n$ (the "order statistics"); let $V_0 = 0, V_{n+1} = 1$
 let $X_i = V_i  V_{i1}$
So do this to pick the absolute values of the coordinates of your points; attach signs chosen uniformly at random, and you're done.
This of course relies on the special structure of balls in $\ell^1$; I don't know how to generalize it to arbitrary $p$.

$\begingroup$ C_n and S_N are of course sets; I can't figure out how to get the braces to show up. $\endgroup$ Dec 17 '09 at 17:37

$\begingroup$ Thanks for the reference. For $p=1$ this was what I thought, but I didn't have a reference. I'm still interested in p>2 though. $\endgroup$– MitchDec 17 '09 at 17:45

$\begingroup$ Fixed the braces. If you're curious how I did this, I'll put up a note on tea.mathoverflow.net $\endgroup$ Dec 17 '09 at 17:48

$\begingroup$ David, thanks for fixing the notation. Mitch, I'd love an answer for other p as well. It seems like a problem someone should have considered but quick searching isn't finding any answers other than the obvious one of picking a random point in the unit cube and throwing it out if it doesn't work, which for large n gets very bad. $\endgroup$ Dec 17 '09 at 17:50

$\begingroup$ With this process the L1 norm of X is always $V_{n+1}  V_0 = 1$ so this simulates a random point on the $l_1$ sphere, not the ball $\endgroup$ May 18 '20 at 14:37