A subexponential upper bound for entropy convergence of Markov chains with a spectral gap

DOI10.1016/S0246-0203(99)80013-2MaRDI QIDQ1291154zbMATH OpenOpenAlexFDO

Authors Laurent Miclo

Publication date 16 January 2000

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_1999__35_3_261_0, https://eudml.org/doc/77630

zbMATH Keywords

entropyergodicityMarkov chainspectral gap

Mathematics Subject Classification ID

Ergodic theory of linear operators (47A35) Equations and inequalities involving linear operators, with vector unknowns (47A50) Eigenvalue problems for linear operators (47A75) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27)

Review text

Let \(P\) be a Markov kernel on a measurable space \(S\) with an invariant probability \(\mu\). Let \(P^*\) be the adjoint operator of \(P\) on \(L_2(\mu)\). It is assumed that the operator \(I-PP^*\) possesses a spectral gap. It is shown that this assumption implies some estimates of the speed of convergence to zero of the entropy \(\text{Ent}(P^nm\mid\mu)\), \(n\to\infty\), where \(m\) is a given probability on \(S\) satisfying certain integrability conditions, and the action \(P^nm\) is defined in a natural way. A modification of this approach is used also for some inhomogeneous Markov chains.

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Cited in

(5)

• Improved log-Sobolev inequalities, hypercontractivity and uncertainty principle on the hypercube
• Intrinsic dimensional functional inequalities on model spaces
• Analysis of Langevin Monte Carlo from Poincaré to log-Sobolev
• Exponential convergence rate in entropy
• A symmetric entropy bound on the non-reconstruction regime of Markov chains on Galton-Watson trees

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