Mixing times and hitting times for general Markov processes

DOI10.1007/S11856-023-2555-ZarXiv1810.06087OpenAlexW2896218014MaRDI QIDQ6131730FDOQ6131730

Authors:

Publication date: 18 April 2024

Published in: Israel Journal of Mathematics (Search for Journal in Brave)

Abstract: The hitting and mixing times are two fundamental quantities associated with Markov chains. In Peres and Sousi[PS2015] and Oliveira[Oli2012], the authors show that the mixing times and "worst-case" hitting times of reversible Markov chains on finite state spaces are equal up to some universal multiplicative constant. We use tools from nonstandard analysis to extend this result to reversible Markov chains on general state spaces that satisfy the strong Feller property. Finally, we show that this asymptotic equivalence can be used to find bounds on the mixing times of a large class of Markov chains used in MCMC, such as typical Gibbs samplers and Metroplis-Hastings chains, even though they usually do not satisfy the strong Feller property.

Full work available at URL: https://arxiv.org/abs/1810.06087

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Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Nonstandard models (03Hxx)

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