The Annals of Applied Probability

Computable Bounds for Geometric Convergence Rates of Markov Chains

Sean P. Meyn and R. L. Tweedie

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Abstract

Recent results for geometrically ergodic Markov chains show that there exist constants $R < \infty, \rho < 1$ such that $\sup_{|f|\leq V}\big|\int P^n(x, dy)f(y) - \int \pi(dy)f(y)\big| \leq RV(x)\rho^n,$ where $\pi$ is the invariant probability measure and $V$ is any solution of the drift inequalities $\int P(x, dy)V(y) \leq \lambda V(x) + b \mathbb{l}_C(x),$ which are known to guarantee geometric convergence for $\lambda < 1, b < \infty$ and a suitable small set $C$. In this paper we identify for the first time computable bounds on $R$ and $\rho$ in terms of $\lambda, b$ and the minorizing constants which guarantee the smallness of $C$. In the simplest case where $C$ is an atom $\alpha$ with $P(\alpha, \alpha) \geq \delta$ we can choose any $\rho > \vartheta$, where $\lbrack 1 - \vartheta\rbrack^{-1} = \frac{1}{(1 - \lambda)^2} \lbrack 1 - \lambda + b + b^2 + \zeta_\alpha(b(1 - \lambda) + b^2)\rbrack$ and $\zeta_\alpha \leq \big(\frac{32 - 8 \delta^2}{\delta^3}\big) \big(\frac{b}{1 - \lambda}\big)^2,$ and we can then choose $R \leq \rho/(\rho - \vartheta)$. The bounds for general small sets $C$ are similar but more complex. We apply these to simple queuing models and Markov chain Monte Carlo algorithms, although in the latter the bounds are clearly too large for practical application in the case considered.

Article information

Source
Ann. Appl. Probab., Volume 4, Number 4 (1994), 981-1011.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1177004900

Digital Object Identifier
doi:10.1214/aoap/1177004900

Mathematical Reviews number (MathSciNet)
MR1304770

Zentralblatt MATH identifier
0812.60059

JSTOR
links.jstor.org

Subjects
Primary: 60J25: Continuous-time Markov processes on general state spaces

Keywords
Uniform convergence renewal theory queueing theory Markov Chain Monte Carlo spectral gap

Citation

Meyn, Sean P.; Tweedie, R. L. Computable Bounds for Geometric Convergence Rates of Markov Chains. Ann. Appl. Probab. 4 (1994), no. 4, 981--1011. doi:10.1214/aoap/1177004900. https://projecteuclid.org/euclid.aoap/1177004900


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