Année
2024
Auteurs
ALQUIER Pierre, WOLFER Geoffrey
Abstract
The convergence rate of a Markov chain to its stationary distribution is typically assessed using the concept of total variation mixing time. However, this worst-case measure often yields pessimistic estimates and is challenging to infer from observations. In this paper, we advocate for the use of the average-mixing time as a more optimistic and demonstrably easier-to-estimate alternative. We further illustrate its applicability across a range of settings, from two-point to countable spaces, and discuss some practical implications.
WOLFER, G. et ALQUIER, P. (2024). Optimistic Estimation of Convergence in Markov Chains with the Average Mixing Time. Dans: International Conference on Scientific Computation and Differential Equations. Singapore.
Mots clés