Poincaré inequalities for Markov chains: a meeting with Cheeger, Lyapunov and Metropolis

08/10/2022

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by   Christophe Andrieu, et al.

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We develop a theory of weak Poincaré inequalities to characterize convergence rates of ergodic Markov chains. Motivated by the application of Markov chains in the context of algorithms, we develop a relevant set of tools which enable the practical study of convergence rates in the setting of Markov chain Monte Carlo methods, but also well beyond.