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A Note on Subgeometric Rate Convergence for Ergodic Markov Chains in the Wasserstein Metric

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Abstract:

We investigate subgeometric rate ergodicity for Markov chains in the Wasserstein metricand show that the finiteness of the expectation E(i,j)[Στ-1k=0 r(k)], where τ△ is the hitting time on thecoupling set △ and r is a subgeometric rate function, is equivalent to a sequence of Foster-Lyapunovdrift conditions which imply subgeometric convergence in the Wassertein distance. We give an examplefor a ’family of nested drift conditions’.

Info:

Periodical:
Bulletin of Mathematical Sciences and Applications (Volume 17)
Pages:
40-45
Citation:
M. Lekgari "A Note on Subgeometric Rate Convergence for Ergodic Markov Chains in the Wasserstein Metric", Bulletin of Mathematical Sciences and Applications, Vol. 17, pp. 40-45, 2016
Online since:
November 2016
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References:

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