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Dynamics of Markov Chains for Undergraduates

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Dynamics of Markov Chains for Undergraduates Dynamics of Markov Chains for Undergraduates Ursula Porod February 19, 2021 Contents Preface 6 1 Markov chains 8 1.1 Introduction . .8 1.2 Construction of a Markov chain . .9 1.2.1 Finite-length trajectories . .9 1.2.2 From finite to infinite-length trajectories . 11 1.3 Basic computations for Markov chains . 16 1.4 Strong Markov Property . 21 1.5 Examples of Markov Chains . 23 1.6 Functions of Markov chains . 35 1.7 Irreducibility and class structure of the state space . 42 1.8 Transience and Recurrence . 44 1.9 Absorbing chains . 53 1.9.1 First step analysis . 53 1.9.2 Finite number of transient states . 55 1.9.3 Infinite number of transient states . 61 1.10 Stationary distributions . 66 1.10.1 Existence and uniqueness of an invariant measure . 68 1.10.2 Positive recurrence versus null recurrence . 73 1.10.3 Stationary distributions for reducible chains . 74 1.10.4 Steady state distributions . 76 1.11 Periodicity . 77 1.12 Exercises . 85 2 Limit Theorems for Markov Chains 87 2.1 The Ergodic Theorem . 87 2.2 Convergence . 93 2.3 Long-run behavior of reducible chains . 98 1 CONTENTS 2 2.4 Exercises . 100 3 Random Walks on Z 101 3.1 Basics . 101 3.2 Wald's Equations . 103 3.3 Gambler's Ruin . 105 3.4 P´olya's Random Walk Theorem . 111 3.5 Reflection Principle and Duality . 115 3.5.1 The ballot problem . 120 3.5.2 Dual walks . 121 3.5.3 Maximum and minimum . 124 3.6 Arcsine Law . 126 3.6.1 Last returns . 126 3.6.2 How often in the lead? . 128 3.7 The Range of a Random Walk . 130 3.8 Law of the Iterated Logarithm . 134 3.9 Exercises . 136 4 Branching Processes 137 4.1 Generating functions . 138 4.2 Extinction . 143 4.3 Exercises . 148 5 Martingales 149 5.1 Definition of a Martingale . 149 5.2 Optional Stopping Theorem . 154 5.3 Martingale transforms . 159 5.4 Martingale Convergence Theorem . 161 5.5 Transience/recurrence via martingales . 162 5.6 Applications . 166 5.6.1 Waiting times for sequence patterns . 166 5.6.2 Gambler's ruin, revisited . 170 5.6.3 Branching process, revisited . 172 5.6.4 P´olya's Urn, revisited . 174 5.7 Exercises . 175 6 Reversibility 176 6.1 Time reversal of a Markov chain . 176 CONTENTS 3 6.2 Reversible Markov chains . 178 6.2.1 Linear-algebraic interpretation of reversibility . 181 6.3 Exercises . 184 7 Markov Chains and Electric Networks 185 7.1 Reversible chains and graph networks . 185 7.2 Harmonic functions . 187 7.3 Voltage and Current . 189 7.4 Effective resistance and Escape probabilities . 194 7.5 Commute times and Cover times . 201 7.6 Exercises . 209 8 Markov Chain Monte Carlo 211 8.1 MCMC Algorithms . 211 8.1.1 Metropolis-Hastings Algorithm . 211 8.1.2 Gibbs Sampler . 216 8.2 Stochastic Optimization and Simulated Annealing . 219 8.3 Exercises . 225 9 Random Walks on Groups 226 9.1 Generators, Convolution powers . 226 9.1.1 Time reversal of a random walk . 230 9.2 Card shuffling . 231 9.3 Abelian groups . 235 9.3.1 Characters and eigenvalues . 236 9.4 Exercises . 240 10 Rates of Convergence 241 10.1 Basic set-up . 241 10.2 Spectral bounds . 244 10.2.1 Spectral decomposition of the transition matrix . 246 10.2.2 Spectral bounds on total variation distance . 249 10.2.3 Random walk on the discrete circle . 251 10.2.4 The Ehrenfest chain . 253 10.3 Coupling . 255 10.3.1 Definition of Coupling . 255 10.3.2 Coupling of Markov chains . 258 10.4 Strong Stationary Times . 265 CONTENTS 4 10.5 The Cut-off phenomenon . 269 10.6 Exercises . 275 A Appendix 277 A.1 Miscellaneous . 277 A.2 Bipartite graphs . 278 A.3 Schur's theorem . 279 A.4 Iterated double series . 280 A.5 Infinite products. 282 A.6 The Perron-Frobenius Theorem . 283 B Appendix 285 B.1 Sigma algebras, Probability spaces . 285 B.2 Expectation, Basic inequalities . 288 B.3 Properties of Conditional Expectation . 289 B.4 Modes of Convergence of Random Variables . 290 B.5 Classical Limit Theorems . 292 B.6 Coupon Collector's Problem. 292 C Appendix 295 C.1 Lim sup, Lim inf . 295 C.2 Interchanging Limit and Integration . 296 Bibliography 300 Index 303 This book is a first version and a work in progress. U. P. 5 Preface This book is about the theory of Markov chains and their long-term dynamical properties. It is written for advanced undergraduates who have taken a course in calculus-based probability theory, such as a course at the level of Ash [3], and are familiar with conditional expectation and the classical limit theorems such as the Central Limit Theorem and the Strong Law of Large Numbers. Knowledge of linear algebra and a basic familiarity with groups are expected. Measure theory is not a prerequisite. The book covers in depth the classical theory of discrete-time Markov chains with count- able state space and introduces the reader to more contemporary areas such as Markov chain Monte Carlo methods and the study of convergence rates of Markov chains. For example, it includes a study of random walks on the symmetric group Sn as a model of card shuffling and their rates of convergence. A possible novelty for an undergraduate text is the book's approach to studying convergence rates for natural sequences of Markov chains with increasing state spaces of N elements, rather than for fixed sized chains. This approach allows for a simultaneous time T and size N asymptotics which reveals, in some cases, the so-called cut-off phenomenon, a kind of phase transition that occurs as these Markov chains converge to stationarity. The book also covers martingales and it covers random walks on graphs as electric networks. The analogy with electric networks reveals interesting connections between certain laws of Physics, discrete harmonic functions, and the study of reversible Markov chains, in particular for computations of their cover times and hitting times. Currently available undergraduate textbooks do not include these topics in any detail. The following is a brief summary of the book's chapters. Chapters 1 and 2 cover the classical theory of discrete-time Markov chains. They are the foundation for the rest of the book. Chapter 3 focuses in detail.
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