Mixing times and hitting times for general Markov processes

The hitting and mixing times are two fundamental quantities associated with Markov chains. In Peres and Sousi [PS15] and Oliveira [Oli12], 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 multiplic...

Full description

Saved in:
Bibliographic Details
Published in:Israel journal of mathematics 2024-03, Vol.259 (2), p.759-834
Main Authors: Anderson, Robert M., Duanmu, Haosui, Smith, Aaron
Format: Article
Language:English
Subjects:
Algebra
Analysis
Applications of Mathematics
Group Theory and Generalizations
Markov chains
Mathematical and Computational Physics
Mathematics
Mathematics and Statistics
Theoretical
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:The hitting and mixing times are two fundamental quantities associated with Markov chains. In Peres and Sousi [PS15] and Oliveira [Oli12], 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 Metropolis–Hastings chains, even though they usually do not satisfy the strong Feller property.
ISSN:0021-2172
1565-8511
DOI:10.1007/s11856-023-2555-z