论文标题
一般离散时间马尔可夫链的渐近方差的变异公式
Variational Formulas of Asymptotic Variance for General Discrete-time Markov Chains
论文作者
论文摘要
渐近方差是评估马尔可夫链性能的重要标准，尤其是对于中心极限定理。我们给出了一般状态空间上离散时间（非可逆）马尔可夫链的渐近方差的变异公式。变分公式提供了许多应用，将经典的Peskun的比较定理扩展到了非可逆的马尔可夫链，并获得了具有各种扰动的马尔可夫链之间的几个比较定理。
The asymptotic variance is an important criterion to evaluate the performance of Markov chains, especially for the central limit theorems. We give the variational formulas for the asymptotic variance of discrete-time (non-reversible) Markov chains on general state space. The variational formulas provide many applications, extending the classical Peskun's comparison theorem to non-reversible Markov chains, and obtaining several comparison theorems between Markov chains with various perturbations.
