A Cubic Algorithm for Computing Gaussian Volume

We present randomized algorithms for sampling the standard Gaussian distribution restricted to a convex set and for estimating the Gaussian measure of a convex set, in the general membership oracle model. The complexity of integration is O^*(n3) while the complexity of sampling is O^*(n3) for the first sample and O^*(n2) for every subsequent sample. These bounds improve on the corresponding state-of-the-art by a factor of n. Our improvement comes from several aspects: better isoperimetry, smoother annealing, avoiding transformation to isotropic position and the use of the "speedy walk" in the analysis.