Efficient Random Walks on Riemannian Manifolds

Abstract

According to a version of Donsker's theorem, geodesic random walks on Riemannian manifolds converge to the respective Brownian motion. From a computational perspective, however, evaluating geodesics can be quite costly. We therefore introduce approximate geodesic random walks based on the concept of retractions. We show that these approximate walks converge to the correct Brownian motion in the Skorokhod topology as long as the geodesic equation is approximated up to second order. As a result we obtain an efficient algorithm for sampling Brownian motion on compact Riemannian manifolds.