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Explicit bounds for spectral theory of geometrically ergodic Markov kernels and applications

Abstract : In this paper, we deal with a Markov chain on a measurable state space $(\mathbb{X},\mathcal{X})$ which has a transition kernel $P$ admitting an aperiodic small-set $S$ (i.e. $P \geq \nu(\cdot)1_S$ for some positive measure $\nu$ on $\mathbb{X}$ such that $\nu(1_S)>0)$, and satisfying the standard geometric-drift condition. Under these assumptions, it can be easily checked that there exists $\alpha_0 \in(0,1]$ such that the following property holds: $PV^{\alpha_0} \leq \delta^{\alpha_0}\, V^{\alpha_0} + \nu(V^{\alpha_0})1_S$. Hence $P$ is $V^{\alpha_0}-$geometrically ergodic and its ``second eigenvalue'' $\varrho_{\alpha_0}$ provides the best rate of convergence. Setting $R:=P - \nu(\cdot)1_S$ and $\Gamma=\{\lambda\in\mathbb{C},\ \delta^{\alpha_0} < |\lambda| < 1\}$, this ``second eigenvalue'' is shown to satisfy, either $\varrho_{\alpha_0} = \max\big\{|\lambda| \, : \, \lambda\in\Gamma,\ \sum_{k=1}^{+\infty} \lambda^{-k} \, \nu(R^{k-1}1_S) = 1\big\}$ if this set is not empty, or $\varrho_{\alpha_0} \leq \delta^{\alpha_0}$. Actually the set is finite in the first case and is composed by the spectral values of $P$ in $\Gamma$. The second case occurs when $P$ has no spectral value in $\Gamma$. Moreover, a bound of the operator-norm of $(zI-P)^{-1}$ allows us to derive an explicit formula for the multiplicative constant in the rate of convergence, which can be evaluated provided that any information of the ``second eigenvalue'' is available. To get such an information, we obtain a simple and explicit bound of the operator-norm of $(I-P+\pi(\cdot)1_{\mathbb{X}})^{-1}$ involved in the definition of the so-called fundamental solution to Poisson's equation. This allows us to specify the location of the eigenvalues of $P$ and, then, to obtain a new explicit bound on $\varrho_{\alpha_0}$. The case of reversible Markov kernel is also discussed and an application to MCMC algorithms is proposed. In fact the bound for the operator-norm of $(I-P+\pi(\cdot)1_{\mathbb{X}})^{-1}$ is based on an estimate, only depending on $\delta^{\alpha_0}$, of the operator-norm of $(I-R)^{-1}$ which provides another way to get a solution to Poisson's equation. This estimate is also shown to be of greatest interest to generalize the error bounds obtained for perturbed discrete and atomic Markov chains in [LL18] to the case of general geometrically ergodic Markov chains. These error estimates are the simplest that can be expected in this context. All the estimates in this work are expressed in the standard $V^{\alpha_0}-$weighted operator norm.
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https://hal-cnrs.archives-ouvertes.fr/hal-03819315
Contributor : James Ledoux Connect in order to contact the contributor
Submitted on : Tuesday, October 18, 2022 - 12:51:17 PM
Last modification on : Thursday, October 27, 2022 - 3:24:22 AM

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  • HAL Id : hal-03819315, version 1

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Loïc Hervé, James Ledoux. Explicit bounds for spectral theory of geometrically ergodic Markov kernels and applications. 2022. ⟨hal-03819315⟩

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