How statement and proof provenance work
The first chip identifies the source of the statement or construction; the second identifies the source of its local proof or verification.
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Drift and minorization certify geometric ergodicity
Statement
On , define a birth-death kernel by , , and for , It has invariant probability and satisfies a geometric drift and small-set minorization, so it is geometrically ergodic.
Facts & Assumptions
Given: The state space and transition probabilities in the Statement.
Phi-irreducibility for a general-state Markov kernel: positive counting-measure sets are reachable from every state.
Aperiodicity for a general-state Markov kernel: a self-loop on the irreducible class prevents a cyclic decomposition.
Small-set minorization and geometric drift: a drift inequality and a fixed-time small-set minorization are the hypotheses used by the geometric theorem.
Invariant and stationary distribution for a Markov kernel: invariance is .
Geometric ergodicity under drift and small-set minorization: irreducibility, aperiodicity, invariant probability, small set and drift imply a -weighted geometric total-variation bound.
Measure kernel and probability kernel: transition rows are probability measures and the statewise evaluations are measurable.
Assume The Axiom of Choice when invoking [F5], retaining the choice assumptions declared by that theorem and its suppliers.
Verification
Given: The kernel and facts [F1]–[F6], with [A1].
The transition rows sum to one. Every adjacent move has positive probability, so every state reaches every other state, proving counting-measure irreducibility. Each state has a positive holding probability, so no positive-mass cyclic family can move deterministically to a disjoint successor. The proposed masses sum to one. At state , the incoming mass is . For , it is Thus . Also ; these detailed-balance equalities and provide a second check.
Let , , , and . Then , so is small. Set . For , Since (squaring gives ), the preceding ratio is less than . At , with . Hence .
The hypotheses of [F5] now hold, so there are and with for all . The example supplies a concrete certificate: the target is invariant and the drift/minorization conditions are checked directly.
Depends on
- The Axiom of Choice
- Aperiodicity for a general-state Markov kernel
- Invariant and stationary distribution for a Markov kernel
- Measure kernel and probability kernel
- Phi-irreducibility for a general-state Markov kernel
- Small-set minorization and geometric drift
- Geometric ergodicity under drift and small-set minorization
Used by
Nothing in the library uses this result yet.
Dependency tree · two levels
24 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.
Sources
- Gareth O. Roberts and Jeffrey S. Rosenthal, General State Space Markov Chains and MCMC Algorithms (standard reference, not scraped)
- Randal Douc, Eric Moulines, Pierre Priouret, and Philippe Soulier, Markov Chains (standard reference, not scraped)