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Each exact Gibbs block update is reversible and invariant

Statement

Let π be a probability on a finite product state space and let KB be a supplied proper full conditional kernel for a nonempty block B. The exact block-update kernel PB of Exact Gibbs block update is reversible with respect to π and leaves π invariant.

Facts & Assumptions

Given: The target probability, block, and supplied proper full conditional kernel in the Statement.

[F1]

A proper full conditional kernel is pointwise a probability kernel and satisfies the block event identities against π−B. Proper full conditional kernel.

[F2]

The transition is PB(x,C)=∫1C(splice⁡B(x−B,u))KB(x−B,du). Exact Gibbs block update.

[F3]

The update is a probability kernel. The Gibbs block update is a probability kernel.

[F4]

A probability measure with a probability kernel defines a joint law with iterated-integral formula. A prior and model kernel define a joint law.

[F5]

The product measure KB(z,⋅)⊗KB(z,⋅) exists and is characterized by its rectangle evaluations. Finite products of probability kernels are probability kernels.

[F6]

Reversibility is the identity ∫AP(x,C)π(dx)=∫CP(y,A)π(dy) for every pair of measurable events. Reversibility for a probability kernel.

[F7]

Invariance means (πP)(A)=∫P(x,A)π(dx)=π(A) for every measurable A. Invariant and stationary distribution for a Markov kernel.

[F8]

Finite measures agreeing on a generating rectangle pi-system agree on the product sigma-algebra. Measures agreeing on a generating pi-system are equal under an increasing finite-measure exhaustion from that pi-system.

Proof

Given: The hypotheses in the Statement and facts [F1]–[F8].

1.1F1F8algebra

The full conditional identity [F1] says that the target law in coordinates (z,u) and the iterated law π−B(dz)KB(z,du) agree on coordinate rectangles. Both are probability measures, and rectangles generate the finite product sigma-algebra, so [F8] makes them equal on every product-measurable event. Integrating nonnegative simple functions and then increasing limits gives ∫h(x)π(dx)=∫π−B(dz)∫h(splice⁡B(z,u))KB(z,du) for every nonnegative product-measurable h.

2.1F2F3F4step 1.1

Let M be the joint law of the current and updated states under initial law π and transition PB, which exists by [F3]–[F4]. For arbitrary measurable A,C⊆S, the update formula and step 1.1 give M(A×C)=∫π−B(dz)∫KB(z,du)1A(splice⁡B(z,u))∫KB(z,dv)1C(splice⁡B(z,v)). All integrands are bounded measurable functions, so the iterated integrals are defined.

3.1F5F6F8step 2.1algebra

For each z, the product measure KB(z,⋅)⊗KB(z,⋅) is invariant under swapping its two coordinates: the product measure and its swapped image agree on every rectangle because KB(z,A)KB(z,C)=KB(z,C)KB(z,A), hence agree on the generated product sigma-algebra by [F8]. Applying this symmetry to the two inner factors in step 2.1 yields M(A×C)=M(C×A) for arbitrary A,C. By [F6], PB is reversible with respect to π.

4.1F3F6F7step 3.1∎

Set C=S in the detailed-balance identity of step 3.1. Since PB(x,S)=1, its left side is π(A) and its right side is ∫PB(y,A)π(dy)=(πPB)(A). This is invariance by [F7], for every measurable A.

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