Fastest Mixing Reversible Markov Chain: Clique Lifted Graphs & Subgraphs

Author: Saber Jafarizadeh


Markov chains are one of the well-known tools for modeling and analyzing stochastic systems. At the same time, they are used for constructing random walks that can achieve a given stationary distribution. This paper is concerned with determining the transition probabilities that optimize the mixing time of the reversible Markov chains towards a given equilibrium distribution. This problem is referred to as the Fastest Mixing Reversible Markov Chain (FMRMC) problem. It is shown that for a given base graph and its clique lifted graph, the FMRMC problem over the clique lifted graph is reducible to the FMRMC problem over the base graph, while the optimal mixing times on both graphs are identical. Based on this result and the solution of the semidefinite programming formulation of the FMRMC problem, the problem has been addressed over a wide variety of topologies with the same base graph. Second, the general form of the FMRMC problem is addressed on stand-alone topologies as well as subgraphs of an arbitrary graph. For subgraphs, it is shown that the optimal transition probabilities over edges of the subgraph can be determined independent of rest of the topology.

Copied! instagram
Research Areas : #MNO
Tags : #Statistics
Careers : Open Positions