Abstract
We consider the problem of estimating from sample paths the absolute spectral gap 1 - λ of a reversible, irreducible and aperiodic Markov chain (Xt )t€N over a finite state space Ω. We propose the UCPI (Upper Confidence Power Iteration) algorithm for this problem, a low-complexity algorithm which estimates the spectral gap in time O(n) and memory space O((lnn)2) given n samples. This is in stark contrast with most known methods which require at least memory space O((ln n)2), so that they cannot be applied to large state spaces. Furthermore, UCPI is amenable to parallel implementation.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
