The Annals of Applied Probability

Mixing time estimation in reversible Markov chains from a single sample path

Daniel Hsu, Aryeh Kontorovich, David A. Levin, Yuval Peres, Csaba Szepesvári, and Geoffrey Wolfer

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Abstract

The spectral gap $\gamma_{\star}$ of a finite, ergodic and reversible Markov chain is an important parameter measuring the asymptotic rate of convergence. In applications, the transition matrix $\mathbf{{P}}$ may be unknown, yet one sample of the chain up to a fixed time $n$ may be observed. We consider here the problem of estimating $\gamma_{\star}$ from this data. Let $\boldsymbol{\pi}$ be the stationary distribution of $\mathbf{{P}}$, and $\pi_{\star}=\min_{x}\pi (x)$. We show that if $n$ is at least $\frac{1}{\gamma_{\star}\pi_{\star}}$ times a logarithmic correction, then $\gamma_{\star}$ can be estimated to within a multiplicative factor with high probability. When $\pi $ is uniform on $d$ states, this nearly matches a lower bound of $\frac{d}{\gamma_{\star}}$ steps required for precise estimation of $\gamma_{\star}$. Moreover, we provide the first procedure for computing a fully data-dependent interval, from a single finite-length trajectory of the chain, that traps the mixing time $t_{\mathrm{mix}}$ of the chain at a prescribed confidence level. The interval does not require the knowledge of any parameters of the chain. This stands in contrast to previous approaches, which either only provide point estimates, or require a reset mechanism, or additional prior knowledge. The interval is constructed around the relaxation time $t_{\mathrm{relax}}=1/\gamma_{\star}$, which is strongly related to the mixing time, and the width of the interval converges to zero roughly at a $1/\sqrt{n}$ rate, where $n$ is the length of the sample path.

Article information

Source
Ann. Appl. Probab., Volume 29, Number 4 (2019), 2439-2480.

Dates
Received: November 2017
Revised: July 2018
First available in Project Euclid: 23 July 2019

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1563869047

Digital Object Identifier
doi:10.1214/18-AAP1457

Mathematical Reviews number (MathSciNet)
MR3983341

Subjects
Primary: 60J10: Markov chains (discrete-time Markov processes on discrete state spaces) 62M05: Markov processes: estimation 62M99: None of the above, but in this section

Keywords
Markov chains mixing time spectral gap empirical confidence interval

Citation

Hsu, Daniel; Kontorovich, Aryeh; Levin, David A.; Peres, Yuval; Szepesvári, Csaba; Wolfer, Geoffrey. Mixing time estimation in reversible Markov chains from a single sample path. Ann. Appl. Probab. 29 (2019), no. 4, 2439--2480. doi:10.1214/18-AAP1457. https://projecteuclid.org/euclid.aoap/1563869047


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