Additional material on bounds of $\ell^2$-spectral gap for discrete Markov chains with band transition matrices (1503.02206v2)

Abstract: We analyse the $\ell^2(\pi)$-convergence rate of irreducible and aperiodic Markov chains with $N$-band transition probability matrix $P$ and with invariant distribution $\pi$. This analysis is heavily based on: first the study of the essential spectral radius $r_{ess}(P_{|\ell^2(\pi)})$ of $P_{|\ell^2(\pi)}$ derived from Hennion's quasi-compactness criteria; second the connection between the spectral gap property (SG$_2$) of $P$ on $\ell^2(\pi)$ and the $V$-geometric ergodicity of $P$. Specifically, (SG$_2$) is shown to hold under the condition [\alpha_0 := \sum_{{m}=-N}^N \limsup_{i\rightarrow +\infty} \sqrt{P(i,i+{m})\, P^*(i+{m},i)}\ \textless{}\, 1. ] Moreover $r_{ess}(P_{|\ell^2(\pi)}) \leq \alpha_0$. Simple conditions on asymptotic properties of $P$ and of its invariant probability distribution $\pi$ to ensure that $\alpha_0\textless{}1$ are given. In particular this allows us to obtain estimates of the $\ell^2(\pi)$-geometric convergence rate of random walks with bounded increments. The specific case of reversible $P$ is also addressed. Numerical bounds on the convergence rate can be provided via a truncation procedure. This is illustrated on the Metropolis-Hastings algorithm.