Some universal estimates for reversible Markov chains

Details Some universal estimates for reversible Markov chains Some universal estimates for reversible Markov chains

2012-01-21

arxiv.org/abs/1201.4510v1

Mathematics

Probability

21 pages, 1 figure

Scientific paper

We obtain universal estimates on the convergence to equilibrium and the times of coupling for continuous time irreducible reversible finite-state Markov chains, both in the total variation and in the L^2 norms. The estimates in total variation norm are obtained using a novel identity relating the convergence to equilibrium of a reversible Markov chain to the increase in the entropy of its one-dimensional distributions. In addition, we propose a universal way of defining the ultrametric partition structure on the state space of such Markov chains. Finally, for chains reversible with respect to the uniform measure, we show how the global convergence to equilibrium can be controlled using the entropy accumulated by the chain.

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