Subgeometric rates of convergence in Wasserstein distance for Markov chains

DOI10.1214/15-AIHP699MaRDI QIDQ503093zbMATH OpenOpenAlexFDO

Authors Alain Durmus, Gersende Fort, Eric Moulines

Publication date 11 January 2017

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

Full work available at URL https://arxiv.org/abs/1402.4577

zbMATH Keywords

Wasserstein distanceMarkov chain Monte Carlo methodMarkov chainssubgeometric ergodicity

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Discrete-time Markov processes on general state spaces (60J05)

Abstract: In this paper, we provide sufficient conditions for the existence of the invariant distribution and for subgeometric rates of convergence in Wasserstein distance for general state-space Markov chains which are (possibly) not irreducible. Compared to previous work, our approach is based on a purely probabilistic coupling construction which allows to retrieve rates of convergence matching those previously reported for convergence in total variation. Our results are applied to establish the subgeometric ergodicity in Wasserstein distance of non-linear autoregressive models and of the pre-conditioned Crank-Nicolson Markov chain Monte Carlo algorithm in Hilbert space.

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