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

DOI10.1016/J.SPA.2013.09.003zbMATH Open1305.60059arXiv1309.2857OpenAlexW2058317966MaRDI QIDQ2434495FDOQ2434495

James Ledoux, Loïc Hervé

Publication date: 6 February 2014

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

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 $X:=N$.

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

Recommendations

• \(V\)-geometrical ergodicity of Markov kernels via finite-rank approximations
• Regular Perturbation of V-Geometrically Ergodic Markov Chains
• State-discretization of \(V\)-geometrically ergodic Markov chains and convergence to the stationary distribution
• Truncation approximations of invariant measures for Markov chains
• scientific article; zbMATH DE number 3998914

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)

Cites Work

• Applied Probability and Queues
• Markov chains and stochastic stability
• General Irreducible Markov Chains and Non-Negative Operators
• Stability of statistical properties in two-dimensional piecewise hyperbolic maps
• Subadditive mean ergodic theorems
• Title not available (Why is that?)
• One-parameter semigroups of positive operators
• Sensitivity and convergence of uniformly ergodic Markov chains
• Title not available (Why is that?)
• Non-negative matrices and Markov chains. 2nd ed
• Computable bounds for geometric convergence rates of Markov chains
• The censored Markov chain and the best augmentation
• Spectral theory and limit theorems for geometrically ergodic Markov processes
• Bounds on regeneration times and convergence rates for Markov chains
• Renewal theory and computable convergence rates for geometrically erdgodic Markov chains
• Geometric Convergence Rates for Stochastically Ordered Markov Chains
• Augmented truncation approximations of discrete-time Markov chains
• Rigorous numerical investigation of the statistical properties of piecewise expanding maps. A feasibility study
• Rigorous numerical approximation of escape rates
• Title not available (Why is that?)
• Invariant densities and escape rates: rigorous and computable approximations in the \(L^{\infty }\)-norm
• Essential spectral radius for Markov semigroups. I: Discrete time case
• Sur un Theoreme Spectral et son Application aux Noyaux Lipchitziens
• A Perturbation Theory for Ergodic Markov Chains and Application to Numerical Approximations
• Regular Perturbation of V-Geometrically Ergodic Markov Chains
• Truncation approximations of invariant measures for Markov chains
• Title not available (Why is that?)
• Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
• Quasi-invariant measures, escape rates and the effect of the hole
• Quasi-compactness and absolutely continuous kernels
• Markov chain convergence: From finite to infinite
• Stochastic perturbations of fat solenoidal attractors

Cited In (17)

• State-discretization of \(V\)-geometrically ergodic Markov chains and convergence to the stationary distribution
• \(V\)-geometrical ergodicity of Markov kernels via finite-rank approximations
• Error Bounds for Augmented Truncations of Discrete-Time Block-Monotone Markov Chains under Subgeometric Drift Conditions
• Approximations of geometrically ergodic reversible markov chains
• Robustness of iterated function systems of Lipschitz maps
• 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
• Title not available (Why is that?)
• Local theorem for Markov chains with quasicompact transition probability. Applications to \(V\)-geometrically ergodic chains and iterative models
• Spectral Analysis of Markov Kernels and Application to the Convergence Rate Of Discrete Random Walks
• 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
• A weak perturbation theory for approximations of invariant measures in M/G/1 model
• Stationary Distributions of Continuous-Time Markov Chains: A Review of Theory and Truncation-Based Approximations
• Multiplicative ergodicity of Laplace transforms for additive functional of Markov chains

This page was built for publication: Approximating Markov chains and \(V\)-geometric ergodicity via weak perturbation theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2434495)