Approximating Markov chains and V-geometric ergodicity via weak perturbation theory

DOI10.1016/J.SPA.2013.09.003MaRDI QIDQ2434495zbMATH OpenOpenAlexFDO

Authors Loïc Hervé, James Ledoux

Publication date 6 February 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.2857

zbMATH Keywords

rate of convergencedrift conditionMarkov chainsessential spectral radiusquasi-compactness\(V\)-geometric ergodicitytruncation of discrete kernels

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Linear operators defined by compactness properties (47B07)

Abstract: Let $P$ be a Markov kernel on a measurable space $X$ and let $V:X[1,+infty)$. This paper provides explicit connections between the $V$-geometric ergodicity of $P$ and that of finite-rank nonnegative sub-Markov kernels $P{c}_k$ approximating $P$. A special attention is paid to obtain an efficient way to specify the convergence rate for $P$ from that of $P{c}_k$ and conversely. Furthermore, explicit bounds are obtained for the total variation distance between the $P$-invariant probability measure and the $P{c}_k$-invariant positive measure. The proofs are based on the Keller-Liverani perturbation theorem which requires an accurate control of the essential spectral radius of $P$ on usual weighted supremum spaces. Such computable bounds are derived in terms of standard drift conditions. Our spectral procedure to estimate both the convergence rate and the invariant probability measure of $P$ is applied to truncation of discrete Markov kernels on $X:=N$.

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Cited in

(18)

• Multiplicative ergodicity of Laplace transforms for additive functional of Markov chains
• Error bounds for augmented truncations of discrete-time block-monotone Markov chains under subgeometric drift conditions
• State-discretization of \(V\)-geometrically ergodic Markov chains and convergence to the stationary distribution
• \(V\)-geometrical ergodicity of Markov kernels via finite-rank approximations
• Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
• Spectral analysis of Markov kernels and application to the convergence rate of discrete random walks
• Robustness of iterated function systems of Lipschitz maps
• Rate of convergence of Nummelin-type representation of the invariant distribution of a Markov chain via the residual kernel
• Explicit bounds for spectral theory of geometrically ergodic Markov kernels and applications
• A computable bound of the essential spectral radius of finite range metropolis-Hastings kernels
• Local theorem for Markov chains with quasicompact transition probability. Applications to \(V\)-geometrically ergodic chains and iterative models
• Perturbation analysis for continuous-time Markov chains in a weak sense
• Continuous-time block-monotone Markov chains and their block-augmented truncations
• Weak stability bounds for approximations of invariant measures with applications to queueing
• Strong approximation for additive functionals of geometrically ergodic Markov chains
• Approximations of geometrically ergodic reversible Markov chains
• On the geometric ergodicity of the mixture autoregressive model
• A weak perturbation theory for approximations of invariant measures in M/G/1 model

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