Mixing Time Estimation in Reversible Markov Chains from a Single Sample Path

NeurIPS 2015 Daniel HsuAryeh KontorovichCsaba Szepesvári

This article provides the first procedure for computing a fully data-dependent interval that traps the mixing time $t_{\text{mix}}$ of a finite reversible ergodic Markov chain at a prescribed confidence level. The interval is computed from a single finite-length sample path from the Markov chain, and does not require the knowledge of any parameters of the chain... (read more)

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