Utilizing Network Structure to Bound the Convergence Rate in Markov Chain Monte Carlo Algorithms

Ahmad Askarian; Rupei Xu; András Faragó

doi:10.3390/a9030050

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arXiv · 1809.06564

Utilizing Network Structure to Bound the Convergence Rate in Markov Chain Monte Carlo Algorithms

Ahmad Askarian·Rupei Xu·András Faragó

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Abstract

We consider the problem of estimating the measure of subsets in very large networks. A prime tool for this purpose is the Markov Chain Monte Carlo (MCMC) algorithm. This algorithm, while extremely useful in many cases, still often suffers from the drawback of very slow convergence. We show that in a special, but important case, it is possible to obtain significantly better bounds on the convergence rate. This special case is when the huge state space can be aggregated into a smaller number of clusters, in which the states behave {\em approximately} the same way (but their behavior still may not be identical). A Markov chain with this structure is called {\em quasi-lumpable}. This property allows the {\em aggregation} of states (nodes) into clusters. Our main contribution is a rigorously proved bound on the rate at which the aggregated state distribution approaches its limit in quasi-lumpable Markov chains. We also demonstrate numerically that in certain cases this can indeed lead to a significantly accelerated way of estimating the measure of subsets. The result can be a useful tool in the analysis of complex networks, whenever they have a clustering that aggregates nodes with similar (but not necessarily identical) behavior.

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Ahmad Askarian, Rupei Xu, András Faragó. 2018-09-18. Utilizing Network Structure to Bound the Convergence Rate in Markov Chain Monte Carlo Algorithms. https://doi.org/10.3390/a9030050

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