Computable bounds of ${\ell}^2$-spectral gap for discrete Markov chains with band transition matrices (1511.01717v1)

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 $r_{ess}(P_{|\ell^2(\pi)}) \leq \alpha_0$. Effective bounds on the convergence rate can be provided from a truncation procedure.