Error Bounds for Approximations of Markov Chains

Probability Seminar

James Johndrow

Thursday, December 7, 2017 -
3:15pm to 4:15pm
Physics 119

We give results on the properties of Markov kernels that approximate another Markov kernel. The basic idea is that when the original kernel satisfies a contraction condition in some metric, the long-time dynamics of the two chains -- as well as the invariant measures, when they exist -- will be close in that metric, so long as the approximating kernel satisfies a suitable approximation error condition. We focus on weighted total variation and Wasserstein metrics, and motivate the results with applications to scalable Markov chain Monte Carlo algorithms. This is joint work with Jonathan Mattingly.

Last updated: 2018/11/14 - 2:23pm