The Annals of Applied Probability

On the convergence to equilibrium of Kac’s random walk on matrices

Roberto Imbuzeiro Oliveira

Full-text: Open access

Abstract

We consider Kac’s random walk on n-dimensional rotation matrices, where each step is a random rotation in the plane generated by two randomly picked coordinates. We show that this process converges to the Haar measure on SO(n) in the L2 transportation cost (Wasserstein) metric in O(n2ln n) steps. We also prove that our bound is at most a O(ln n) factor away from optimal. Previous bounds, due to Diaconis/Saloff-Coste and Pak/Sidenko, had extra powers of n and held only for L1 transportation cost.

Our proof method includes a general result of independent interest, akin to the path coupling method of Bubley and Dyer. Suppose that P is a Markov chain on a Polish length space (M, d) and that for all x, yM with d(x, y)≪1 there is a coupling (X, Y) of one step of P from x and y (resp.) that contracts distances by a (ξ+o(1)) factor on average. Then the map μμP is ξ-contracting in the transportation cost metric.

Article information

Source
Ann. Appl. Probab., Volume 19, Number 3 (2009), 1200-1231.

Dates
First available in Project Euclid: 15 June 2009

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1245071024

Digital Object Identifier
doi:10.1214/08-AAP550

Mathematical Reviews number (MathSciNet)
MR2537204

Zentralblatt MATH identifier
1173.60343

Subjects
Primary: 60J27: Continuous-time Markov processes on discrete state spaces
Secondary: 65C40: Computational Markov chains

Keywords
Markov chain mixing time path coupling Kac’s random walk

Citation

Oliveira, Roberto Imbuzeiro. On the convergence to equilibrium of Kac’s random walk on matrices. Ann. Appl. Probab. 19 (2009), no. 3, 1200--1231. doi:10.1214/08-AAP550. https://projecteuclid.org/euclid.aoap/1245071024


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