arXiv:2608.03353math.PRcs.LG2026-08

用目标分布等价性直接证明马尔可夫链收敛,无需传统假设。

A Direct Route to Markov Chain Convergence via Asymptotic Equivalence with the Target

  • 基于渐近等价性:迭代分布与目标分布的奇异部分随步数趋近于零。
  • 在一般可测空间下,该条件是收敛的充要条件,且不依赖于不可约性等传统假设。
  • 适用于吉布斯采样、平行退火等经典算法,适合概率论与统计推断研究者。

针对具有不变测度π的马尔可夫核T,本文通过渐近等价性准则给出收敛定理的自包含证明。该准则要求对任意起始点x,T^n_x与π的Lebesgue分解满足:1)渐近绝对连续性——奇异质量sing(T^n_x | π) → 0;2)渐近主导性——奇异质量sing(π | T^n_x) → 0(n→∞)。若每步迭代的绝对连续部分关于π具有联合可测密度,则此条件为收敛的充要条件。在三种情形中验证了正小量密度版本:i)T有相对于π的正转移密度;ii)含正转移密度的绝对连续部分与起点处的原子结合,涵盖Metropolis-Hastings算法;iii)转移密度仅在有限步后为正,步数可依赖起始点。以随机扫描吉布斯采样和平行退火为例验证该准则。进一步证明在所有情形下Birkhoff遍历定理成立,从而导出大数定律。全文不依赖不可约性、周期性、常返性、耦合、分裂构造或小集等概念,状态空间仅为一般可测空间,仅需核的联合可测性(由可数生成保证)。所有结论非新,但提供了一条通向广泛适用收敛准则的简洁路径。

原文摘要 · Abstract (English)

For a Markov kernel $T$ with an invariant probability measure $π$, we give a self-contained proof of the Markov chain convergence theorem via a criterion called asymptotic equivalence with the target. It assumes two parts about the Lebesgue decompositions of $T^n_x$ and $π$ for every starting point $x$: 1.) asymptotic absolute continuity: the singular mass $\mathrm{sing}(T^n_x \mid π)$ tends to $0$; and, 2.) asymptotic domination of the target: the singular mass $\mathrm{sing}(π\mid T^n_x)$ tends to $0$, as $n \to \infty$. Assuming a jointly measurable density for the absolutely continuous part of each iterate $T^n$ w.r.t. $π$, this criterion is sufficient and necessary for convergence. A positive minorant density version of it is verified in three cases: i.) $T$ has a positive transition density w.r.t. $π$; ii.) $T$ consists of an absolutely continuous part with positive transition density together with an atom at the starting point, which covers the Metropolis-Hastings algorithm; iii.) the transition density is positive only after a finite number of steps that may depend on the starting point $x$. To demonstrate our general criterion, we investigate the Gibbs sampler with random scan and the parallel tempering algorithm. Furthermore, we show that in all mentioned settings Birkhoff's ergodic theorem applies, so as to obtain the strong law of large numbers. Throughout this paper, neither irreducibility, nor aperiodicity, nor recurrence, nor couplings, nor splitting constructions, nor small sets are used. In all results, the state space is a general measurable space with no structure beyond a $σ$-algebra. That joint measurability is assumed of the Markov kernel, not of the space; countable generation supplies it. None of the theorems proved here is new; what is offered is a short route to a single, widely applicable Markov chain convergence criterion.

马尔可夫链收敛性概率论采样算法

Thank you to arXiv for use of its open access interoperability. PaperDance 不是 arXiv 官方产品;中文卡片由大模型生成,请以原文为准。