Sourav Chatterjee, Stanford

A definition of spectral gap for nonreversible Markov chains
Date
Apr 30, 2024, 3:00 pm4:00 pm
Location

Details

Event Description

ABSTRACT:

While the notion of spectral gap is a fundamental and very useful feature 
of reversible Markov chains, there is no standard analogue of this notion 
for nonreversible chains. In this talk I will present a simple proposal 
for spectral gap of nonreversible chains, and show that it shares all of 
the nice properties of the reversible spectral gap. The most important 
property of this spectral gap is that its reciprocal gives an exact 
characterization, with upper and lower bounds, of the time required for 
convergence of empirical averages. This works even if there is no 
contraction, such as in dynamical systems.

 

Event Category
Probability Seminar