Stochastic Approximation Algorithms in the Estimation of Quasi-Stationary Distribution of Finite and General State Space Markov Chains
- Stochastic Approximation Algorithms in the Estimation of Quasi-Stationary Distribution of Finite and General State Space Markov Chains
- Zheng, Shuheng
- Thesis Advisor(s):
- Blanchet, Jose H.
- Industrial Engineering and Operations Research
- Persistent URL:
- Ph.D., Columbia University.
- This thesis studies stochastic approximation algorithms for estimating the quasi-stationary distribution of Markov chains. Existing numerical linear algebra methods and probabilistic methods might be computationally demanding and intractable in large state spaces. We take our motivation from a heuristic described in the physics literature and use the stochastic approximation framework to analyze and extend it.
The thesis begins by looking at the finite dimensional setting. The finite dimensional quasi-stationary estimation algorithm was proposed in the Physics literature by [#latestoliveira, #oliveiradickman1, #dickman], however no proof was given there and it was not recognized as a stochastic approximation algorithm. This and related schemes were analyzed in the context of urn problems and the consistency of the estimator is shown there [#aldous1988two, #pemantle, #athreya]. The rate of convergence is studied by [#athreya] in special cases only. The first chapter provides a different proof of the algorithm's consistency and establishes a rate of convergence in more generality than [#athreya]. It is discovered that the rate of convergence is only fast when a certain restrictive eigenvalue condition is satisfied. Using the tool of iterate averaging, the algorithm can be modified and we can eliminate the eigenvalue condition.
The thesis then moves onto the general state space discrete-time Markov chain setting. In this setting, the stochastic approximation framework does not have a strong theory in the current literature, so several of the convergence results have to be adapted because the iterates of our algorithm are measure-valued The chapter formulates the quasi-stationary estimation algorithm in this setting. Then, we extend the ODE method of [#kushner2003stochastic] and proves the consistency of algorithm. Through the proof, several non-restrictive conditions required for convergence of the algorithm are discovered.
Finally, the thesis tests the algorithm by running some numerical experiments. The examples are designed to test the algorithm in various edge cases. The algorithm is also empirically compared against the Fleming-Viot method.
- Operations research
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- Suggested Citation:
- Shuheng Zheng, 2014, Stochastic Approximation Algorithms in the Estimation of Quasi-Stationary Distribution of Finite and General State Space Markov Chains, Columbia University Academic Commons, http://dx.doi.org/10.7916/D89C6VM9.