computing convergence rate
Deep Learning for Computing Convergence Rates of Markov Chains
Convergence rate analysis for general state-space Markov chains is fundamentally important in operations research (stochastic systems) and machine learning (stochastic optimization). This problem, however, is notoriously difficult because traditional analytical methods often do not generate practically useful convergence bounds for realistic Markov chains. We propose the Deep Contractive Drift Calculator (DCDC), the first general-purpose sample-based algorithm for bounding the convergence of Markov chains to stationarity in Wasserstein distance. The DCDC has two components. First, inspired by the new convergence analysis framework in (Qu et.al, 2023), we introduce the Contractive Drift Equation (CDE), the solution of which leads to an explicit convergence bound.