24
14

Estimating the Spectral Gap of a Reversible Markov Chain from a Short Trajectory

Abstract

The spectral gap γ\gamma of an ergodic and reversible Markov chain is an important parameter measuring the asymptotic rate of convergence. In applications, the transition matrix PP may be unknown, yet one sample of the chain up to a fixed time tt may be observed. Hsu, Kontorovich, and Szepesvari (2015) considered the problem of estimating γ\gamma from this data. Let π\pi be the stationary distribution of PP, and π=minxπ(x)\pi_\star = \min_x \pi(x). They showed that, if t=O~(1γ3π)t = \tilde{O}\bigl(\frac{1}{\gamma^3 \pi_\star}\bigr), then γ\gamma can be estimated to within multiplicative constants with high probability. They also proved that Ω~(nγ)\tilde{\Omega}\bigl(\frac{n}{\gamma}\bigr) steps are required for precise estimation of γ\gamma. We show that O~(1γπ)\tilde{O}\bigl(\frac{1}{\gamma \pi_\star}\bigr) steps of the chain suffice to estimate γ\gamma up to multiplicative constants with high probability. When π\pi is uniform, this matches (up to logarithmic corrections) the lower bound of Hsu, Kontorovich, and Szepesvari.

View on arXiv
Comments on this paper