Geometric convergence bounds for Markov chains in Wasserstein distance based on generalized drift and contraction conditions (1902.02964v3)

Abstract: Let $(X_n)_{n=0}^\infty$ denote a Markov chain on a Polish space that has a stationary distribution $\varpi$. This article concerns upper bounds on the Wasserstein distance between the distribution of $X_n$ and $\varpi$. In particular, an explicit geometric bound on the distance to stationarity is derived using generalized drift and contraction conditions whose parameters vary across the state space. These new types of drift and contraction allow for sharper convergence bounds than the standard versions, whose parameters are constant. Application of the result is illustrated in the context of a non-linear autoregressive process and a Gibbs algorithm for a random effects model.