Simple conditions for metastability of continuous Markov chains

DOI10.1017/JPR.2020.83MaRDI QIDQ4964782zbMATH OpenOpenAlexFDO

Authors

Publication date 3 March 2021

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.03239

zbMATH Keywords

Markov chain Monte Carlometastabilitymultimodal distributionspectral gap

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40)

Abstract: A family $$ of Markov chains is said to exhibit $extitmetastablemixing$ with $extitmodes$ $$ if its spectral gap (or some other mixing property) is very close to the worst conductance $$ of its modes. We give simple sufficient conditions for a family of Markov chains to exhibit metastability in this sense, and verify that these conditions hold for a prototypical Metropolis-Hastings chain targeting a mixture distribution. Our work differs from existing work on metastability in that, for the class of examples we are interested in, it gives an asymptotically exact formula for the spectral gap (rather than a bound that can be very far from sharp) while at the same time giving technical conditions that are easier to verify for many statistical examples. Our bounds from this paper are used in a companion paper to compare the mixing times of the Hamiltonian Monte Carlo algorithm and a random walk algorithm for multimodal target distributions.

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Cited in

(3)

• Sufficient conditions for torpid mixing of parallel and simulated tempering
• Metastability of exponentially perturbed Markov chains
• Finite sample complexity of sequential Monte Carlo estimators on multimodal target distributions

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