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Geometric drift yields a bounded small set and bivariate drift
Statement
Let be countably generated, -irreducible and aperiodic with invariant probability . Suppose is -small with and for finite , . Then there are and a -positive small set with and pointwise. Moreover there are a bounded- small set , a time , a minorizing probability , and such that for and , If on , the residual laws have when ; for no residual branch is needed.
Facts & Assumptions
Given: The irreducibility, aperiodicity, invariant probability, small-set and drift assumptions.
Phi-irreducibility for a general-state Markov kernel: every positive- set is reachable from every state.
Small-set minorization and geometric drift: the fixed-time minorization and pointwise drift inequality hold.
Invariant mass and almost-sure hitting of accessible sets: charges each positive- set.
A drift sublevel enlargement of a small set is petite: a drift sublevel enlargement of a small set is petite.
A petite drift enlargement is small under aperiodicity: a petite set is small if it contains a small set with the same minorizer, that minorizer charges the small set, and it is absolutely continuous with respect to the invariant law.
Aperiodicity makes minorization times eventually consecutive: once and every state reaches a minorization into , for all sufficiently large .
Aperiodicity for a general-state Markov kernel: aperiodicity excludes cyclic decompositions.
Invariant and stationary distribution for a Markov kernel: is invariant.
Measure kernel and probability kernel: probability kernels have measurable evaluations and probability-measure sections.
Assume The Axiom of Choice as inherited from the path and stopping-time constructions in [F4] and [F5].
Proof
Given: The hypotheses and facts [F1]–[F9], with [A1].
Choose and then large enough that has positive -measure; such a choice exists since is finite and is positive. The set remains -small and is bounded in . For , , while outside the original drift has no term. Hence .
By [F3], . Integrating the minorization over gives . Iteration of the original drift yields ; for the right side is finite and uniformly bounded. Since , it follows that . Irreducibility and give some with . Put . For any with , invariance gives , so for -almost every ; since , this implies . Thus . Also , and is small at time with minorizer .
Choose any finite large enough that . Put , which is bounded in . By [F4], there are weights , , and a probability such that on . Put , so is -small. By [F1], every state reaches at some positive time; a countable union therefore gives with . Composition yields . Thus the shifted mixture makes petite with minorizer . Since and , [F5] gives some , , and probability with on . Again [F1] gives with . Hence, for , , where on . Each state also reaches a positive minorization into by reaching and then running steps. For every sufficiently large , [F6] gives ; hence for .
Iterating the improved drift gives with . Choose in step 3.1 large enough that also satisfies If , at least one coordinate has , so . Therefore The set is bounded in , and is uniformly bounded on by the drift bound. The minorizer has finite -moment by step 2.1, so the residual laws have uniformly finite -moment and their product expectation of is bounded.
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
- Petite sets for a Markov kernel
- Phi-irreducibility for a general-state Markov kernel
- Small-set minorization and geometric drift
- Aperiodicity makes minorization times eventually consecutive
- A petite drift enlargement is small under aperiodicity
- A bivariate drift and minorization bound geometric coupling error
- A drift sublevel enlargement of a small set is petite
- Invariant mass and almost-sure hitting of accessible sets
Used by
Dependency tree · two levels
30 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)