Some universal estimates on convergence to equilibrium in reversible Markov chains

Mykhaylo Shkolnikov

Research output: Contribution to journalArticlepeer-review

Abstract

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 L2 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, 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.

Original languageEnglish (US)
JournalElectronic Journal of Probability
Volume18
DOIs
StatePublished - 2013
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Convergence to equilibrium
  • Entropy
  • Reversible Markov chains
  • Time of coupling

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