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Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions

Part of: Markov processes

Published online by Cambridge University Press:  19 September 2016

J. Blanchet ,
P. Glynn  and
S. Zheng
J. Blanchet*
Affiliation:
Columbia University
P. Glynn*
Affiliation:
Stanford University
S. Zheng*
Affiliation:
Columbia University
*
* Postal address: Department of Industrial Engineering & Operations Research, Columbia University, 500 West 120th Street, New York, NY 10027, USA.
*** Postal address: Department of Management Science & Engineering, Stanford University, Huang Engineering Center, 475 Via Ortega, Stanford, CA 94035-4121, USA. Email address: [email protected]
* Postal address: Department of Industrial Engineering & Operations Research, Columbia University, 500 West 120th Street, New York, NY 10027, USA.
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Abstract

We study the convergence properties of a Monte Carlo estimator proposed in the physics literature to compute the quasi-stationary distribution on a transient set of a Markov chain (see De Oliveira and Dickman (2005), (2006), and Dickman and Vidigal (2002)). Using the theory of stochastic approximations we verify the consistency of the estimator and obtain an associated central limit theorem. We provide an example showing that convergence might occur very slowly if a certain eigenvalue condition is violated. We alleviate this problem using an easy-to-implement projection step combined with averaging.

Keywords

Quasi-stationary distributionstochastic approximationMarkov chaincentral limit theorem

MSC classification

Primary: 60J22: Computational methods in Markov chains
Secondary: 60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
Type
Research Article
Information
Advances in Applied Probability , Volume 48 , Issue 3 , September 2016 , pp. 792 - 811
Copyright
Copyright © Applied Probability Trust 2016 

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