Spectral gap of nonreversible Markov chains
Fuente:
arXiv
Salvato in:
| Autore principale: | |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2023
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866910772623310848 |
|---|---|
| author | Chatterjee, Sourav |
| author_facet | Chatterjee, Sourav |
| contents | We define the spectral gap of a Markov chain on a finite state space as the second-smallest singular value of the generator of the chain, generalizing the usual definition of spectral gap for reversible chains. We then define the relaxation time of the chain as the inverse of this spectral gap, and show that this relaxation time can be characterized, for any Markov chain, as the time required for convergence of empirical averages. This relaxation time is related to the Cheeger constant and the mixing time of the chain through inequalities that are similar to the reversible case, and the path argument can be used to get upper bounds. Several examples are worked out. An interesting finding from the examples is that the time for convergence of empirical averages in nonreversible chains can often be substantially smaller than the mixing time. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2310_10876 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Spectral gap of nonreversible Markov chains Chatterjee, Sourav Probability Combinatorics Spectral Theory 60J10 We define the spectral gap of a Markov chain on a finite state space as the second-smallest singular value of the generator of the chain, generalizing the usual definition of spectral gap for reversible chains. We then define the relaxation time of the chain as the inverse of this spectral gap, and show that this relaxation time can be characterized, for any Markov chain, as the time required for convergence of empirical averages. This relaxation time is related to the Cheeger constant and the mixing time of the chain through inequalities that are similar to the reversible case, and the path argument can be used to get upper bounds. Several examples are worked out. An interesting finding from the examples is that the time for convergence of empirical averages in nonreversible chains can often be substantially smaller than the mixing time. |
| title | Spectral gap of nonreversible Markov chains |
| topic | Probability Combinatorics Spectral Theory 60J10 |
| url | https://arxiv.org/abs/2310.10876 |