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Markov Chain

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ProbabilityStochastic Systems·Captain: Shuze Chen

Markov Chains and Mixing Times XI: The Cutoff Phenomenon and Lamplighter WalksTextbook

Motivation

For many natural chains, convergence to stationarity is not gradual: the distance stays near its maximum for a long time and then collapses to zero in a comparatively negligible window. A deck of cards under riffle shuffles is "not at all mixed" for six shuffles and "essentially mixed" after eight. This abrupt transition is the cutoff phenomenon, discovered by Aldous and Diaconis in the 1980s, and Chapter 18 of Levin–Peres–Wilmer, Markov Chains and Mixing Times (AMS, 2009) develops its theory: precise definitions of cutoff and cutoff windows, the product criterion trel=o(tmix)t_{\mathrm{rel}}=o(t_{\mathrm{mix}})trel​=o(tmix​) necessary for cutoff, and complete proofs for two model families — the biased walk on a segment and the lazy hypercube walk, the latter with the sharp 12nlog⁡n\tfrac12 n\log n21​nlogn location and window nnn, in both total variation and separation. Chapter 19 complements this with lamplighter walks: chains on the wreath-product state space of lamp configurations over a moving lamplighter, whose relaxation, mixing, and separation times are governed — beautifully — by the hitting and cover times of Missions VI. Both chapters are formalized in this mission.

Setting

A family of chains is a sequence P(n)P^{(n)}P(n) on state spaces VnV_nVn​ with stationary distributions πn\pi_nπn​; all single-chain quantities acquire an index nnn. As before, ∥μ−ν∥TV=max⁡A∣μ(A)−ν(A)∣\|\mu-\nu\|_{TV}=\max_A|\mu(A)-\nu(A)|∥μ−ν∥TV​=maxA​∣μ(A)−ν(A)∣, dn(t)=max⁡x∥P(n)t(x,⋅)−πn∥TVd_n(t)=\max_x\|P^{(n)t}(x,\cdot)-\pi_n\|_{TV}dn​(t)=maxx​∥P(n)t(x,⋅)−πn​∥TV​, tmix(n)(ε)=min⁡{t:dn(t)≤ε}t^{(n)}_{\mathrm{mix}}(\varepsilon)=\min\{t:d_n(t)\le\varepsilon\}tmix(n)​(ε)=min{t:dn​(t)≤ε}, and tmix(n)=tmix(n)(1/4)t^{(n)}_{\mathrm{mix}}=t^{(n)}_{\mathrm{mix}}(1/4)tmix(n)​=tmix(n)​(1/4). The family has a cutoff when for every 0<ε<10<\varepsilon<10<ε<1

tmix(n)(ε)tmix(n)(1−ε)  ⟶  1(n→∞),\frac{t^{(n)}_{\mathrm{mix}}(\varepsilon)}{t^{(n)}_{\mathrm{mix}}(1-\varepsilon)}\;\longrightarrow\;1\qquad(n\to\infty),tmix(n)​(1−ε)tmix(n)​(ε)​⟶1(n→∞),

and a cutoff at tnt_ntn​ with window wnw_nwn​ when wn=o(tn)w_n=o(t_n)wn​=o(tn​) and the distance at time tn+αwnt_n+\alpha w_ntn​+αwn​ tends (in the appropriate limsup/liminf sense) to 111 as α→−∞\alpha\to-\inftyα→−∞ and to 000 as α→+∞\alpha\to+\inftyα→+∞. The separation distance from xxx is sx(t)=max⁡y(1−Pt(x,y)/π(y))s_x(t)=\max_y\bigl(1-P^t(x,y)/\pi(y)\bigr)sx​(t)=maxy​(1−Pt(x,y)/π(y)) (Mission III), s(t)=max⁡xsx(t)s(t)=\max_xs_x(t)s(t)=maxx​sx​(t), and a separation cutoff is defined by the same window template with sss in place of ddd. From Mission VII, trel=(1−λ⋆)−1t_{\mathrm{rel}}=(1-\lambda_\star)^{-1}trel​=(1−λ⋆​)−1 is the relaxation time; from Mission VI, thit=max⁡x,yEx(τy)t_{\mathrm{hit}}=\max_{x,y}\mathbb E_x(\tau_y)thit​=maxx,y​Ex​(τy​) and tcovt_{\mathrm{cov}}tcov​ are the maximal hitting and cover times, and the pairwise distance dˉ(t)=max⁡x,y∥Pt(x,⋅)−Pt(y,⋅)∥TV\bar d(t)=\max_{x,y}\|P^t(x,\cdot)-P^t(y,\cdot)\|_{TV}dˉ(t)=maxx,y​∥Pt(x,⋅)−Pt(y,⋅)∥TV​ is from Mission II.

The concrete chains: the lazy biased walk on {0,…,n}\{0,\dots,n\}{0,…,n} holds with probability 12\tfrac1221​ and otherwise steps up with probability p>12p>\tfrac12p>21​, down with probability 1−p1-p1−p (reflecting at the endpoints); the lazy hypercube walk is the walk of Mission IV on {0,1}n\{0,1\}^n{0,1}n. The lamplighter chain G∗G^\astG∗ over a graph GGG has states (lamp configuration in {0,1}V\{0,1\}^{V}{0,1}V, lamplighter position in VVV); one step randomizes the current lamp, moves the lamplighter one step of the lazy walk on GGG, and randomizes the new lamp. Its stationary distribution is uniform lamps times the walk's stationary distribution.

Formalization targets

Goal

Theorem 18.3: the lazy hypercube walk has a cutoff at 12 nlog⁡n\tfrac12\,n\log n21​nlogn with window nnn — the family's total variation distance undergoes its full collapse in a window of size Θ(n)\Theta(n)Θ(n) around 12nlog⁡n\tfrac12 n\log n21​nlogn.

Milestones

  • Lemma 18.1 — cutoff is equivalent to the step-function limit: dn(⌊c tmix(n)⌋)→1d_n(\lfloor c\,t^{(n)}_{\mathrm{mix}}\rfloor)\to1dn​(⌊ctmix(n)​⌋)→1 for every c<1c<1c<1 and →0\to0→0 for every c>1c>1c>1.
  • Theorem 18.2 — the lazy biased walk on {0,…,n}\{0,\dots,n\}{0,…,n} with bias β=p−12>0\beta=p-\tfrac12>0β=p−21​>0 has a cutoff at β−1n\beta^{-1}nβ−1n with window n\sqrt nn​.
  • Proposition 18.4 (the product condition) — for a reversible family with tmix(n)→∞t^{(n)}_{\mathrm{mix}}\to\inftytmix(n)​→∞, if tmix(n)≤C trel(n)t^{(n)}_{\mathrm{mix}}\le C\,t^{(n)}_{\mathrm{rel}}tmix(n)​≤Ctrel(n)​ for a fixed constant CCC, the family has no cutoff: trel=o(tmix)t_{\mathrm{rel}}=o(t_{\mathrm{mix}})trel​=o(tmix​) is necessary.
  • Theorem 18.8 — the lazy hypercube walk has a separation cutoff at nlog⁡nn\log nnlogn with window nnn — at twice the total-variation cutoff time.
  • Lemma 19.3 (Aldous–Diaconis) — the separation–total-variation relation s(2t)≤1−(1−dˉ(t))2s(2t)\le1-\bigl(1-\bar d(t)\bigr)^2s(2t)≤1−(1−dˉ(t))2 for reversible chains.
  • Theorem 19.1 — for lamplighter chains over a growing family of connected graphs, trel(Gn∗)≍thit(Gn)t_{\mathrm{rel}}(G_n^\ast)\asymp t_{\mathrm{hit}}(G_n)trel​(Gn∗​)≍thit​(Gn​): the relaxation time is comparable, with universal constants, to the maximal hitting time of the base walk.
  • Theorem 19.2 — likewise tmix(Gn∗)≍tcov(Gn)t_{\mathrm{mix}}(G_n^\ast)\asymp t_{\mathrm{cov}}(G_n)tmix​(Gn∗​)≍tcov​(Gn​): the lamplighter's mixing time is governed by the base walk's cover time.

Significance

The results. Cutoff is the deepest phenomenon in the quantitative theory of Markov chains: it says mixing is a phase transition in time. The hypercube is the fundamental example where everything can be computed — the eigenvalue structure of Mission VII delivers the upper bound and a refined distinguishing-statistic argument (Mission IV) the lower — and the 12nlog⁡n\tfrac12 n\log n21​nlogn location with window nnn is the sharpest statement of the coupon-collector heuristic. The product condition 18.4 is the basic sanity criterion in the ongoing research program of characterizing cutoff. The lamplighter theorems tie together the entire series: hitting times (Mission VI), cover times (Mission VI), relaxation times (Mission VII), and separation (Missions III, XI) all meet in one family of chains that furnishes counterexamples — for instance, families with total-variation cutoff but no separation cutoff.

Formalizing them. Nothing about cutoff exists in any proof assistant. The definitions themselves (families of chains, windows, limsup/liminf in a real parameter) are a formalization contribution: they force precision about quantifier order that informal texts elide. The hypercube cutoff is a landmark target — a sharp two-sided asymptotic statement, not an inequality.

Difficulty

The upper half of the hypercube cutoff needs the full eigenvalue decomposition of the walk (λj=1−j/n\lambda_j=1-j/nλj​=1−j/n with multiplicity (nj)\binom nj(jn​), via Mission VII's spectral representation) and the ℓ2\ell^2ℓ2 bound summed over binomial coefficients; the lower half needs the Hamming-weight distinguishing statistic pushed to second-order precision (mean and variance at time 12nlog⁡n+αn\tfrac12 n\log n+\alpha n21​nlogn+αn). Proposition 18.4 converts an eigenfunction with eigenvalue near 111 into a quantitative anti-concentration statement — the formal content of "a bounded ratio forbids abrupt collapse". Theorem 18.2 rests on a central-limit-flavoured estimate for the biased walk's position, done with fourth-moment bounds rather than the CLT. The lamplighter theorems are the heaviest: the upper bounds couple lamp refreshment with the cover-time of the base walk, the lower bounds run separation-distance and eigenfunction arguments, and all four inequalities must hold with universal constants over an arbitrary growing graph family — the statements quantify over the family, so the proofs must too. The asymptotic language throughout (liminf/limsup over nnn, limits in the window parameter α\alphaα) exercises the filter library in earnest.

Formalization scope

Families are dependent functions ∀ n, Matrix (V n) (V n) ℝ over a sequence of finite state-space types. Cutoff and windows are rendered exactly by the book's Eq. (18.3) and §18.1: the window definition uses Filter.liminf/limsup over nnn composed with limits in the real parameter α\alphaα (through ⌊t n + α w n⌋₊, with the natural-floor convention on negative reals). The mixing-time ratio in the cutoff definition uses real division of the natural-valued mixing times (total division: the hypotheses keep denominators eventually positive). The biased walk's stationary distribution is passed as a hypothesis rather than a closed form. In the lamplighter theorems the comparability constants c1,c2c_1,c_2c1​,c2​ and the threshold NNN are existentially quantified, with the graph family and its connectivity as hypotheses; the lamplighter matrix and its product stationary distribution are explicit definitions. Lemma 19.3 is stated for a single reversible chain at all times ttt.

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009. https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • D. Aldous, P. Diaconis, Shuffling cards and stopping times, Amer. Math. Monthly 93 (1986). https://doi.org/10.1080/00029890.1986.11971821
  • P. Diaconis, The cutoff phenomenon in finite Markov chains, Proc. Natl. Acad. Sci. USA 93 (1996). https://doi.org/10.1073/pnas.93.4.1659
  • Y. Peres, D. Revelle, Mixing times for random walks on finite lamplighter groups, Electron. J. Probab. 9 (2004). https://doi.org/10.1214/EJP.v9-198
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ProbabilityStochastic Systems·Captain: Shuze Chen

Markov Chains and Mixing Times X: Martingales and Evolving SetsTextbook

Motivation

Every mixing bound in Missions II–IX ultimately leaned on either coupling or the spectrum, and the spectral route demanded reversibility. Chapter 17 of Levin–Peres–Wilmer, Markov Chains and Mixing Times (AMS, 2009) opens a third route: martingales — processes whose conditional expected increment vanishes — and the beautiful evolving-set process of Morris and Peres built from them. The payoff theorem of the chapter bounds the mixing time of any lazy irreducible chain by its bottleneck constant, with no reversibility hypothesis anywhere — an honest strengthening of the spectral route through the Cheeger inequality, whose proof is a martingale analysis of a random sequence of sets growing and shrinking under the chain's flow. The same chapter proves the optional stopping theorem in the exact discrete form the rest of the series consumes, and applies the machinery to sharp return-probability estimates for lazy walks.

Setting

Throughout, PPP is a chain on a finite state space VVV with stationary distribution π\piπ; ∥μ−ν∥TV=max⁡A∣μ(A)−ν(A)∣\|\mu-\nu\|_{TV}=\max_{A}|\mu(A)-\nu(A)|∥μ−ν∥TV​=maxA​∣μ(A)−ν(A)∣, d(t)=max⁡x∥Pt(x,⋅)−π∥TVd(t)=\max_x\|P^t(x,\cdot)-\pi\|_{TV}d(t)=maxx​∥Pt(x,⋅)−π∥TV​, and tmix(ε)=min⁡{t:d(t)≤ε}t_{\mathrm{mix}}(\varepsilon)=\min\{t:d(t)\le\varepsilon\}tmix​(ε)=min{t:d(t)≤ε} as in the earlier missions; πmin⁡=min⁡xπ(x)\pi_{\min}=\min_x\pi(x)πmin​=minx​π(x). The chain is lazy when P(x,x)≥12P(x,x)\ge\tfrac12P(x,x)≥21​ at every state.

A martingale adapted to the chain is a family MtM_tMt​ of functions of the trajectory up to time ttt such that the conditional expectation of Mt+1M_{t+1}Mt+1​, given the trajectory so far, equals MtM_tMt​ — for a finite chain, a pointwise finite-sum identity. A stopping time τ\tauτ is a {0,1}\{0,1\}{0,1}-valued stopping rule in the sense of Mission III: whether to stop at time ttt depends only on the trajectory up to ttt.

From Mission IV: the edge measure is Q(x,y)=π(x)P(x,y)Q(x,y)=\pi(x)P(x,y)Q(x,y)=π(x)P(x,y), with Q(S,y)=∑x∈SQ(x,y)Q(S,y)=\sum_{x\in S}Q(x,y)Q(S,y)=∑x∈S​Q(x,y), and the bottleneck constant Φ⋆\Phi_\starΦ⋆​ is the minimum over sets SSS with 0<π(S)≤120<\pi(S)\le\tfrac120<π(S)≤21​ of Φ(S)=Q(S,Sc)/π(S)\Phi(S)=Q(S,S^c)/\pi(S)Φ(S)=Q(S,Sc)/π(S). The evolving-set process is the Markov chain on subsets of VVV in which, from the current set SSS, one draws uuu uniform on (0,1](0,1](0,1] and passes to the superlevel set

S′={y  :  Q(S,y)π(y)≥u}S'=\Bigl\{y\;:\;\frac{Q(S,y)}{\pi(y)}\ge u\Bigr\}S′={y:π(y)Q(S,y)​≥u}

— states currently receiving a large share of the flow out of SSS are likely to join, states receiving little are likely to leave.

Formalization targets

Goal

Theorem 17.10 (Morris–Peres), the capstone of Chapter 17: for any lazy irreducible chain — reversibility not assumed —

tmix(ε)  ≤  2Φ⋆2 log⁡ ⁣(1ε πmin⁡).t_{\mathrm{mix}}(\varepsilon)\;\le\;\frac{2}{\Phi_\star^{2}}\,\log\!\Bigl(\frac{1}{\varepsilon\,\pi_{\min}}\Bigr).tmix​(ε)≤Φ⋆2​2​log(επmin​1​).

Milestones

  • Corollary 17.7, the Optional Stopping Theorem — if MMM is a martingale adapted to the chain, bounded uniformly by a constant, and τ\tauτ is an almost surely finite stopping time, then Ex(Mτ)=M0(x)\mathbb E_x(M_\tau)=M_0(x)Ex​(Mτ​)=M0​(x): stopping a fair game at a fair time wins nothing.
  • Lemma 17.12 — the evolving-set process, started from the singleton {x}\{x\}{x}, recovers the chain: Pt(x,y)=π(y)π(x) P{x}{y∈St}P^t(x,y)=\dfrac{\pi(y)}{\pi(x)}\,\mathbb P_{\{x\}}\{y\in S_t\}Pt(x,y)=π(x)π(y)​P{x}​{y∈St​}.
  • Lemma 17.13 — for the evolving-set process, the stationary mass π(St)\pi(S_t)π(St​) of the current set is a martingale.
  • Theorem 17.17 — return probabilities of the lazy random walk on a graph of maximum degree Δ\DeltaΔ: ∣Pt(x,x)−π(x)∣≤2 Δ5/2/t\bigl|P^t(x,x)-\pi(x)\bigr|\le\sqrt2\,\Delta^{5/2}/\sqrt t​Pt(x,x)−π(x)​≤2​Δ5/2/t​, an application of the evolving-set machinery.

Significance

The results. The optional stopping theorem is the workhorse identity of discrete probability — the earlier missions' gambler's-ruin and hitting-time computations are all instances, and Missions XI–XII cite it again. The Morris–Peres theorem is the strongest known elementary relation between geometry and mixing: for reversible chains it recovers the Cheeger-based bound tmix≲Φ⋆−2log⁡(1/πmin⁡)t_{\mathrm{mix}}\lesssim\Phi_\star^{-2}\log(1/\pi_{\min})tmix​≲Φ⋆−2​log(1/πmin​) of Mission VII, but it needs no reversibility, and its proof technique — controlling the root π(St)\sqrt{\pi(S_t)}π(St​)​ as a supermartingale — introduced evolving sets as a tool that has since produced heat-kernel decay, isoperimetric mixing profiles, and bounds for non-reversible and time-inhomogeneous chains well beyond the book.

Formalizing them. Mathlib's martingale library lives in measure-theoretic generality; this mission's chain-adapted martingales are self-contained finite objects (families of functions on trajectory spaces), so the optional stopping theorem here is independent of, and complementary to, the measure-theoretic one. Evolving sets exist in no proof assistant; the process is a genuinely novel formalization target — a Markov chain whose states are Finsets, defined through interval lengths of a uniform variable.

Difficulty

The optional stopping theorem needs the dominated-convergence step (bounded martingale, a.s. finite time) rendered as an elementary tail estimate — the series ∑tP{τ=t} Mt\sum_t\mathbb P\{\tau=t\}\,M_t∑t​P{τ=t}Mt​ must be shown summable and equal to M0M_0M0​ by an exchange of finite sums with a limit. The evolving-set transition probabilities are interval lengths: the probability of passing from SSS to TTT is the length of the set of u∈(0,1]u\in(0,1]u∈(0,1] whose superlevel set is exactly TTT, which the formalization encodes by explicit upper and lower thresholds (a min over TTT and a max over TcT^cTc of the clipped ratios Q(S,y)/π(y)Q(S,y)/\pi(y)Q(S,y)/π(y)); establishing that these lengths sum to one over TTT, and that the process has the two martingale properties, is delicate finite-order-statistics reasoning. The goal theorem then runs a supermartingale argument on π(St)\sqrt{\pi(S_t)}π(St​)​: laziness keeps the thresholds in [12,1][\tfrac12,1][21​,1], an expansion estimate converts the bottleneck constant into a per-step multiplicative decay of Eπ(St)(1−π(St))\mathbb E\sqrt{\pi(S_t)\bigl(1-\pi(S_t)\bigr)}Eπ(St​)(1−π(St​))​, and Lemma 17.12 converts that decay into a total-variation bound. Theorem 17.17 composes the same machinery with a Cauchy–Schwarz step. None of this exists in any library; the auxiliary supermartingale lemmas are welcome as separate contributions.

Formalization scope

Martingales, stopping times, and stopped expectations are the trajectory-calculus objects of Missions I and III: finite sums over paths weighted by ∏P(ωi,ωi+1)\prod P(\omega_i,\omega_{i+1})∏P(ωi​,ωi+1​), with expectations over the stopping time as tsums in ttt (non-summable families sum to 000; the a.s.-finiteness hypothesis is the statement that the stopping mass sums to 111). The evolving-set matrix is defined by the clipped-threshold formula described above — an explicit real matrix on Finset V — and the goal and lemmas assume π\piπ positive and PPP lazy exactly where the book does. Theorem 17.17 is stated for the lazy walk on a connected graph with positive degrees, with π(x)=deg⁡(x)/2∣E∣\pi(x)=\deg(x)/2|E|π(x)=deg(x)/2∣E∣ written out. Real-valued bounds on the natural-valued tmixt_{\mathrm{mix}}tmix​ are direct inequalities on the cast, with no hidden rounding.

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009. https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • B. Morris, Y. Peres, Evolving sets, mixing and heat kernel bounds, Probab. Theory Related Fields 133 (2005). https://doi.org/10.1007/s00440-005-0434-7
  • D. Williams, Probability with Martingales, Cambridge University Press, 1991. https://doi.org/10.1017/CBO9780511813658
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ProbabilityStochastic Systems·Captain: Shuze Chen

Markov Chains and Mixing Times IX: The Ising ModelTextbook

Motivation

The Ising model is statistical mechanics' fruit fly: spins ±1\pm1±1 on the vertices of a graph, neighbours preferring to agree, a single parameter — the inverse temperature β\betaβ — tuning the strength of that preference. Chapter 15 of Levin–Peres–Wilmer, Markov Chains and Mixing Times (AMS, 2009) studies the Glauber dynamics for this model and exhibits, on concrete graphs, the phenomenon that made mixing times a subject: a dynamical phase transition. At high temperature (small β\betaβ) the dynamics mixes in O(nlog⁡n)O(n\log n)O(nlogn) steps on any bounded-degree graph; on the complete graph the same dynamics passes, as β\betaβ crosses an explicit threshold, from O(nlog⁡n)O(n\log n)O(nlogn) mixing to exponentially slow mixing. The chapter also introduces two comparison tools of independent value — the sensitivity of the spectral gap to edge removal, and the block dynamics comparison — and the Kenyon–Mossel–Peres bound for trees, all formalized in this mission.

Setting

Spin configurations on a finite graph GGG with vertex set of size nnn and maximum degree Δ\DeltaΔ are functions σ\sigmaσ assigning ±1\pm1±1 to each vertex (encoded over Booleans, true↦+1\mathrm{true}\mapsto+1true↦+1). The Ising model at inverse temperature β>0\beta>0β>0 is the Gibbs distribution

π(σ)  =  e β∑{v,w}∈Eσ(v)σ(w)Z(β),\pi(\sigma)\;=\;\frac{e^{\,\beta\sum_{\{v,w\}\in E}\sigma(v)\sigma(w)}}{Z(\beta)},π(σ)=Z(β)eβ∑{v,w}∈E​σ(v)σ(w)​,

each edge counted once, Z(β)Z(\beta)Z(β) the normalizing partition function. The Glauber dynamics for π\piπ picks a uniform vertex and re-samples its spin from π\piπ conditioned on all other spins — concretely, the new spin at vvv is +1+1+1 with probability (1+tanh⁡(βS))/2\bigl(1+\tanh(\beta S)\bigr)/2(1+tanh(βS))/2 where SSS is the sum of the neighbouring spins.

The yardsticks are as in the earlier missions: ∥μ−ν∥TV=max⁡A∣μ(A)−ν(A)∣\|\mu-\nu\|_{TV}=\max_A|\mu(A)-\nu(A)|∥μ−ν∥TV​=maxA​∣μ(A)−ν(A)∣ is the total variation distance, d(t)=max⁡σ∥Pt(σ,⋅)−π∥TVd(t)=\max_\sigma\|P^t(\sigma,\cdot)-\pi\|_{TV}d(t)=maxσ​∥Pt(σ,⋅)−π∥TV​, and tmix(ε)=min⁡{t:d(t)≤ε}t_{\mathrm{mix}}(\varepsilon)=\min\{t:d(t)\le\varepsilon\}tmix​(ε)=min{t:d(t)≤ε}. From Mission VII: an eigenvalue of a chain is a real λ\lambdaλ with Pf=λfPf=\lambda fPf=λf for some nonzero fff; λ2\lambda_2λ2​ is the largest eigenvalue ≠1\ne1=1, the spectral gap is γ=1−λ2\gamma=1-\lambda_2γ=1−λ2​, λ⋆\lambda_\starλ⋆​ the largest ∣λ∣|\lambda|∣λ∣ over eigenvalues ≠1\ne1=1, and the relaxation time is trel=(1−λ⋆)−1t_{\mathrm{rel}}=(1-\lambda_\star)^{-1}trel​=(1−λ⋆​)−1.

Formalization targets

Goal

Theorem 15.1, the high-temperature fast-mixing theorem: if Δtanh⁡β<1\Delta\tanh\beta<1Δtanhβ<1 then the Glauber dynamics on any graph satisfies

tmix(ε)  ≤  ⌈n (log⁡n+log⁡(1/ε))1−Δtanh⁡β⌉,t_{\mathrm{mix}}(\varepsilon)\;\le\;\Bigl\lceil\frac{n\,\bigl(\log n+\log(1/\varepsilon)\bigr)}{1-\Delta\tanh\beta}\Bigr\rceil,tmix​(ε)≤⌈1−Δtanhβn(logn+log(1/ε))​⌉,

together with its refinement for graphs with all degrees even, where the condition relaxes to (Δ/2)tanh⁡(2β)<1(\Delta/2)\tanh(2\beta)<1(Δ/2)tanh(2β)<1.

Milestones

  • Lemma 15.2 (the tanh lemma) — the elementary inequalities about x↦tanh⁡(β(x+1))−tanh⁡(β(x−1))x\mapsto\tanh(\beta(x+1))-\tanh(\beta(x-1))x↦tanh(β(x+1))−tanh(β(x−1)) (symmetry, monotonicity, the bounds by 2tanh⁡β2\tanh\beta2tanhβ and, at odd integers, by tanh⁡2β\tanh 2\betatanh2β) that drive the one-site coupling contraction.
  • Theorem 15.3 — the dynamical phase transition on the complete graph at β=α/n\beta=\alpha/nβ=α/n: (i) for α<1\alpha<1α<1, tmix(ε)≤n(log⁡n+log⁡(1/ε))/(1−α)t_{\mathrm{mix}}(\varepsilon)\le n(\log n+\log(1/\varepsilon))/(1-\alpha)tmix​(ε)≤n(logn+log(1/ε))/(1−α); (ii) for α>1\alpha>1α>1, there are r(α),C>0r(\alpha),C>0r(α),C>0 with tmix≥C ernt_{\mathrm{mix}}\ge C\,e^{r n}tmix​≥Cern — split here into a fast half and a slow half.
  • Theorem 15.4 — on the nnn-cycle, at every β>0\beta>0β>0, mixing is nlog⁡nn\log nnlogn up to explicit constants: (1+o(1)) nlog⁡n2cO(β)≤tmix(ε)≤(1+o(1)) nlog⁡ncO(β)(1+o(1))\,\frac{n\log n}{2c_O(\beta)}\le t_{\mathrm{mix}}(\varepsilon)\le(1+o(1))\,\frac{n\log n}{c_O(\beta)}(1+o(1))2cO​(β)nlogn​≤tmix​(ε)≤(1+o(1))cO​(β)nlogn​ with cO(β)=1−tanh⁡(2β)c_O(\beta)=1-\tanh(2\beta)cO​(β)=1−tanh(2β).
  • Theorem 15.6 (Kenyon–Mossel–Peres) — on the rooted bbb-ary tree of depth kkk with nkn_knk​ vertices, the relaxation time is polynomial at every temperature: trel≤nk cT(β,b)t_{\mathrm{rel}}\le n_k^{\,c_T(\beta,b)}trel​≤nkcT​(β,b)​ with cT(β,b)=2β(3b+1)/log⁡b+1c_T(\beta,b)=2\beta(3b+1)/\log b+1cT​(β,b)=2β(3b+1)/logb+1.
  • Proposition 15.7 — removing rrr edges changes the spectral gap of the Glauber dynamics by at most a factor e2β(Δ+2r)e^{2\beta(\Delta+2r)}e2β(Δ+2r).
  • Theorem 15.9 — the block-dynamics comparison: if blocks V1,…,VbV_1,\dots,V_bV1​,…,Vb​ cover the vertex set, each of size at most MMM, each vertex in at most M⋆M_\starM⋆​ blocks, then the spectral gap γB\gamma_BγB​ of the block dynamics and the gap γ\gammaγ of the single-site dynamics satisfy γB≤M2M⋆ (4e2βΔ)M+1 γ\gamma_B\le M^2M_\star\,(4e^{2\beta\Delta})^{M+1}\,\gammaγB​≤M2M⋆​(4e2βΔ)M+1γ.

Significance

The results. Theorem 15.1 is the standard fast-mixing criterion for Glauber dynamics, and the model application of the path-coupling technique of Mission VIII. Theorem 15.3 exhibits, in the cleanest possible setting, the correspondence between the static phase transition of the mean-field Ising model and the dynamical transition of its Glauber dynamics — the phenomenon at the heart of Markov-chain approaches to statistical physics. The tree bound of Kenyon–Mossel–Peres and the block-dynamics comparison are the standard tools for spatially structured spin systems; block dynamics in particular is the engine of recursive gap bounds on trees and lattices.

Formalizing them. Nothing about the Ising model, Gibbs distributions, or Glauber dynamics exists in Mathlib. The Gibbs-distribution layer (weights, partition functions, conditional single-site laws with their tanh⁡\tanhtanh closed forms) is foundational for any future formalization of statistical mechanics; the phase-transition theorem 15.3(ii) would be, to our knowledge, the first formalized instance of exponentially slow mixing driven by an energy barrier.

Difficulty

The high-temperature theorem is path coupling (Mission VIII) plus the tanh lemma: the one-site coupling of two adjacent configurations contracts the Hamming metric at rate 1−(1−Δtanh⁡β)/n1-\bigl(1-\Delta\tanh\beta\bigr)/n1−(1−Δtanhβ)/n, and every analytic input is in Lemma 15.2 — which is why that elementary lemma is a milestone of its own. The slow-mixing half of Theorem 15.3 runs through the bottleneck bound of Mission IV: the magnetization performs a one-dimensional walk in a double-well free-energy landscape, and the bottleneck at zero magnetization has exponentially small stationary mass — a large-deviations estimate carried out with binomial coefficients. The cycle's lower bound needs Wilson's method (Mission VII) with an explicit eigenfunction. The tree and block theorems are exercises in the comparison technology of Mission VII (Dirichlet forms, canonical paths through block updates); their constants are crude but the inductive structure is delicate. Everything sits on the subtlety that the state space {±1}V\{\pm1\}^V{±1}V has size 2n2^n2n, so all "polynomial" bounds are polynomial in nnn, not in the size of the state space.

Formalization scope

The Gibbs distribution is defined by explicit finite sums (weight over partition function, total division); no positivity side conditions are needed since the weights are exponentials. The Glauber dynamics is the generic single-site heat bath of Mission II applied to the Ising distribution, so the tanh⁡\tanhtanh closed form is a provable lemma, not a definition. Asymptotic statements (o(1)o(1)o(1), "for sufficiently large nnn") are rendered with explicit ∃N,∀n≥N\exists N,\forall n\ge N∃N,∀n≥N quantifiers and a free precision parameter δ\deltaδ; the phase-transition constants r(α),Cr(\alpha),Cr(α),C are existentially quantified. The tree is encoded as words of length ≤k\le k≤k over an alphabet of size bbb; the block dynamics re-samples a uniformly chosen block from the conditional Gibbs distribution, with the convention that a conditioning of zero mass yields a zero row (total division), which the theorems' hypotheses exclude on the support. The even-degree refinement of the goal is stated as a second conjunct with its own hypothesis.

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009. https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • C. Kenyon, E. Mossel, Y. Peres, Glauber dynamics on trees and hyperbolic graphs, FOCS 2001. https://doi.org/10.1109/SFCS.2001.959934
  • D. A. Levin, M. J. Luczak, Y. Peres, Glauber dynamics for the mean-field Ising model: cut-off, critical power law, and metastability, Probab. Theory Related Fields 146 (2010). https://doi.org/10.1007/s00440-008-0189-z
  • F. Martinelli, Lectures on Glauber dynamics for discrete spin models, Lectures on Probability Theory and Statistics (Saint-Flour XXVII), Springer, 1999. https://doi.org/10.1007/978-3-540-48115-7_2
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Markov Chains and Mixing Times V: Shuffling CardsTextbook

Motivation

How many shuffles does a deck of cards need? The question created the modern theory of mixing times: Diaconis and Shahshahani's analysis of random transpositions (1981) and the Bayer–Diaconis "seven shuffles suffice" analysis of the riffle shuffle (1992) are its founding results. Chapters 8 and 16 of Levin–Peres–Wilmer, Markov Chains and Mixing Times (AMS, 2009) treat the four standard shuffles: random transpositions (pick two cards, swap them), the riffle shuffle (cut and interleave, the Gilbert–Shannon–Reeds model), random adjacent transpositions, and the LLL-reversal chain of segment reversals — the last motivated by genome rearrangement, where a chromosome evolves by reversing segments and the mixing time measures evolutionary distance ("from shuffling cards to shuffling genes").

Setting

All four chains are random walks on a symmetric group; decks are encoded as in Mission III, an arrangement being a permutation with position 000 on top. Random transpositions have increment distribution μ(id)=1/n\mu(\mathrm{id})=1/nμ(id)=1/n, μ(transposition)=2/n2\mu(\text{transposition})=2/n^2μ(transposition)=2/n2. The lazy adjacent-transposition walk puts mass 1/21/21/2 on the identity and 1/[2(n−1)]1/[2(n-1)]1/[2(n−1)] on each (i i+1)(i\ i{+}1)(i i+1). One inverse riffle shuffle assigns each card an independent uniform bit and moves the cards labeled 000 to the top, preserving relative order; the (forward) riffle shuffle is its time reversal, given by transposing the inverse-shuffle matrix (the stationary distribution being uniform). The LLL-reversal chain on circular arrangements indexed by Zn\mathbb Z_nZn​ picks a position iii and a length k<Lk<Lk<L uniformly and reverses the segment [i,i+k][i,i+k][i,i+k].

Formalization targets

Goal

tmix  ≤  (2+o(1)) nlog⁡nt_{\mathrm{mix}}\;\le\;(2+o(1))\,n\log ntmix​≤(2+o(1))nlogn

for random transpositions on nnn cards (Corollary 8.10), formalized as: for every δ>0\delta>0δ>0 there is NNN with tmix≤(2+δ)nlog⁡nt_{\mathrm{mix}}\le(2+\delta)n\log ntmix​≤(2+δ)nlogn for all n≥Nn\ge Nn≥N.

Milestones

Proposition 8.11 (random transpositions lower bound tmix(ε)≥n−12log⁡((1−ε)n6)t_{\mathrm{mix}}(\varepsilon)\ge\frac{n-1}{2}\log\bigl(\frac{(1-\varepsilon)n}{6}\bigr)tmix​(ε)≥2n−1​log(6(1−ε)n​), via fixed points); Proposition 8.13 (riffle shuffle: tmix≤2log⁡2(4n/3)+1t_{\mathrm{mix}}\le 2\log_2(4n/3)+1tmix​≤2log2​(4n/3)+1); Proposition 8.14 (riffle shuffle: tmix(ε)≥(1−δ)log⁡2nt_{\mathrm{mix}}(\varepsilon)\ge(1-\delta)\log_2 ntmix​(ε)≥(1−δ)log2​n for large nnn, by the counting bound of Mission IV); the random adjacent transpositions upper bound tmix(ε)≤2n3log⁡2nt_{\mathrm{mix}}(\varepsilon)\le 2n^3\log_2 ntmix​(ε)≤2n3log2​n for large nnn (§16.1.2, display (16.4)) and lower bound tmix≥n2(n−1)/16t_{\mathrm{mix}}\ge n^2(n-1)/16tmix​≥n2(n−1)/16 (§16.1.3, by following a single card); and Proposition 16.2 (the LLL-reversal chain with L<n/2L<n/2L<n/2 satisfies d((1−ε)n2log⁡n)→1d\bigl((1-\varepsilon)\frac n2\log n\bigr)\to1d((1−ε)2n​logn)→1, via conserved adjacencies).

Significance

The results. Random transpositions at 12nlog⁡n\frac12 n \log n21​nlogn (the constant 222 here is not sharp; the sharp constant is part of the celebrated Diaconis–Shahshahani cutoff) and riffle at 32log⁡2n\frac32\log_2 n23​log2​n are the emblematic mixing results outside of spin systems; the riffle bound is the mathematical content of "seven shuffles suffice" for n=52n=52n=52. The adjacent-transposition walk at order n3log⁡nn^3\log nn3logn is the basic example where geometry (diameter (n2)\binom n2(2n​)) forces polynomial mixing. The LLL-reversal lower bound is the quantitative starting point of the biological application.

Formalizing them. Random walks on symmetric groups and their mixing are entirely absent from Mathlib; so are the combinatorial devices these proofs run on — the Broder stopping time, rising sequences and the Eulerian-number analysis of riffle shuffles, single-card projections, conserved adjacencies. The riffle shuffle formalization via bit strings and the stable-sort permutation Tuple.sort gives a clean combinatorial model reusable for the cutoff analysis of Mission XI.

Difficulty

Corollary 8.10's route is the Broder strong stationary time: mark cards under a card-and-position scheme and prove that, conditioned on the marked set and its positions, the marked cards are uniformly ordered — an exchangeability induction on top of Mission III's stopping-rule framework; then the coupon-collector-style tail with an extra log⁡n\log nlogn factor. Proposition 8.11 requires the fixed-point statistic: the expected number of untouched cards after ttt transpositions and a second-moment bound, fed into Proposition 7.8. The riffle upper bound runs through inverse shuffles: after ttt inverse shuffles the deck is a uniform stable sort of ttt-bit labels, and mixing reduces to the birthday problem for 2t2^t2t labels; formalizing "distinct labels imply uniform order" is the crux. The LLL-reversal lower bound needs a second-moment argument for the number of conserved adjacencies with the exact variance bookkeeping of the book. Throughout, the walk-on-group conventions (left vs right increments, forward vs inverse shuffle) are the classic source of silent errors; the formal statements pin them.

Formalization scope

All chains are explicit matrices on Equiv.Perm (Fin n) (or Equiv.Perm (ZMod n) for the circular LLL-reversal chain); increments act on the left, matching Mission I's group-walk convention. The riffle shuffle is defined as the transpose-reversal of the explicit inverse-riffle matrix — the two have equal distance to uniformity by Lemma 4.13 (Mission II), which a solver may use rather than re-derive. Asymptotic statements (o(1)o(1)o(1), "for sufficiently large nnn") are spelled out with explicit ∀δ ∃N\forall\delta\,\exists N∀δ∃N quantifiers; upper bounds carry a +1+1+1 where integer rounding requires it. The LLL-reversal family takes the length function L(n)L(n)L(n) as a hypothesis-carrying parameter with 1≤L(n)<n/21\le L(n)<n/21≤L(n)<n/2, and its lower bound is a genuine limit statement (Tendsto, distance to stationarity tending to 111).

Welcome contributions: exchangeability and projection lemmas for deck chains; Eulerian/rising-sequence counting; the single-card chain projection (reused for Mission XI's cutoff examples).

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009. https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • P. Diaconis, M. Shahshahani, Generating a random permutation with random transpositions, Z. Wahrsch. Verw. Gebiete 57 (1981). https://doi.org/10.1007/BF00535487
  • D. Bayer, P. Diaconis, Trailing the dovetail shuffle to its lair, Ann. Appl. Probab. 2 (1992). https://doi.org/10.1214/aoap/1177005705
  • R. Durrett, Shuffling chromosomes, J. Theoret. Probab. 16 (2003). https://doi.org/10.1023/A:1024940217006
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Markov Chains and Mixing Times XII: Continuous Time and Countable State SpacesTextbook

Motivation

The whole series so far lived in discrete time on finite state spaces. Chapters 20–21 of Levin–Peres–Wilmer, Markov Chains and Mixing Times (AMS, 2009) lift both restrictions. Running the jumps of a chain at the arrivals of a rate-one Poisson clock produces the continuous-time chain, whose transition semigroup — the heat kernel — converges to stationarity for every irreducible chain, with no aperiodicity hypothesis: continuous time washes out periodicity. On countable state spaces, existence of a stationary distribution is no longer automatic, and the trichotomy of transience, null recurrence, and positive recurrence replaces it; the convergence theorem survives exactly on the positive-recurrent class. The chapter's crown jewel — and this mission's goal — is Pólya's theorem: simple random walk on the lattice Zd\mathbb Z^dZd is recurrent in dimensions one and two and transient in dimension three and higher. "A drunk man will find his way home, but a drunk bird may get lost forever."

Setting

Continuous time (Ch. 20). For a finite chain PPP, the heat kernel at time t≥0t\ge0t≥0 is defined by Poissonization,

Ht(x,y)=∑k=0∞e−ttkk! Pk(x,y),H_t(x,y)=\sum_{k=0}^{\infty}e^{-t}\frac{t^k}{k!}\,P^k(x,y),Ht​(x,y)=k=0∑∞​e−tk!tk​Pk(x,y),

the law at time ttt of a walk taking PPP-steps at Poisson arrival times (=et(P−I)=e^{t(P-I)}=et(P−I) as a matrix exponential). With ∥μ−ν∥TV=max⁡A∣μ(A)−ν(A)∣\|\mu-\nu\|_{TV}=\max_A|\mu(A)-\nu(A)|∥μ−ν∥TV​=maxA​∣μ(A)−ν(A)∣, the continuous distance and mixing time are dcont(t)=max⁡x∥Ht(x,⋅)−π∥TVd^{\mathrm{cont}}(t)=\max_x\|H_t(x,\cdot)-\pi\|_{TV}dcont(t)=maxx​∥Ht​(x,⋅)−π∥TV​ and tmixcont(ε)=inf⁡{t≥0:dcont(t)≤ε}t^{\mathrm{cont}}_{\mathrm{mix}}(\varepsilon)=\inf\{t\ge0:d^{\mathrm{cont}}(t)\le\varepsilon\}tmixcont​(ε)=inf{t≥0:dcont(t)≤ε}. The lazy version of a discrete chain is 12(I+P)\tfrac12(I+P)21​(I+P); from Mission VII, the spectral gap γ\gammaγ is 1−λ21-\lambda_21−λ2​ with λ2\lambda_2λ2​ the largest eigenvalue ≠1\ne1=1. The product chain on a product of nnn coordinate spaces picks a uniform coordinate and updates it by that coordinate's chain.

Countable state spaces (Ch. 21). A chain on a countable state space VVV is a function PPP with nonnegative entries and rows summing to one (as convergent series); ttt-step probabilities Pt(x,y)P^t(x,y)Pt(x,y) are defined recursively, and trajectory probabilities are countable sums of path weights. The first return time to xxx is τx+=min⁡{t≥1:Xt=x}\tau_x^+=\min\{t\ge1:X_t=x\}τx+​=min{t≥1:Xt​=x}; a state is recurrent when Px{τx+<∞}=1\mathbb P_x\{\tau_x^+<\infty\}=1Px​{τx+​<∞}=1 (tails tend to zero), positive recurrent when moreover Ex(τx+)<∞\mathbb E_x(\tau_x^+)<\inftyEx​(τx+​)<∞ (tails summable), and null recurrent when recurrent but not positive recurrent. A stationary distribution is a nonnegative π\piπ summing to one with πP=π\pi P=\piπP=π (as convergent series). Simple random walk on Zd\mathbb Z^dZd steps from xxx to one of its 2d2d2d nearest neighbours uniformly at random.

Formalization targets

Goal

Pólya's theorem (§21.2, Examples 21.8–21.9), the capstone of Chapters 20–21:

  1. for d≤2d\le2d≤2, simple random walk on Zd\mathbb Z^dZd is recurrent — it returns to its starting point with probability one;
  2. for d≥3d\ge3d≥3, it is transient — with positive probability it never returns.

Milestones

  • Theorem 20.1 — for any irreducible finite chain, aperiodic or not, the heat kernel converges: dcont(t)→0d^{\mathrm{cont}}(t)\to0dcont(t)→0 as t→∞t\to\inftyt→∞.
  • Theorem 20.3 — the two-way comparison between lazy discrete and continuous mixing: eventual ε\varepsilonε-mixing of the lazy chain at time kkk gives 2ε2\varepsilon2ε-mixing of the heat kernel at time kkk, and ε\varepsilonε-mixing of the heat kernel at time mmm gives 2ε2\varepsilon2ε-mixing of the lazy chain at time 4m4m4m.
  • Theorem 20.6 — the spectral bound for reversible chains: ∣Ht(x,y)−π(y)∣≤π(y)/π(x)  e−γt\bigl|H_t(x,y)-\pi(y)\bigr|\le\sqrt{\pi(y)/\pi(x)}\;e^{-\gamma t}​Ht​(x,y)−π(y)​≤π(y)/π(x)​e−γt.
  • Theorem 20.7 — mixing of continuous-time product chains: with all coordinate gaps ≥γ\ge\gamma≥γ and coordinate stationary masses bounded below, tmixcont(ε)≤(2γ)−1nlog⁡n+γ−1nlog⁡(1/(c0ε))t^{\mathrm{cont}}_{\mathrm{mix}}(\varepsilon)\le(2\gamma)^{-1}n\log n+\gamma^{-1}n\log(1/(c_0\varepsilon))tmixcont​(ε)≤(2γ)−1nlogn+γ−1nlog(1/(c0​ε)), with a matching n2γlog⁡n\tfrac{n}{2\gamma}\log n2γn​logn lower bound when the gaps are equal — the nlog⁡nn\log nnlogn product-chain phenomenon.
  • Proposition 21.3 — the recurrence dichotomy on countable spaces: a state is recurrent exactly when its Green's function ∑tPt(x,x)\sum_tP^t(x,x)∑t​Pt(x,x) diverges, and for an irreducible chain one recurrent state makes all states recurrent.
  • Theorem 21.12 — an irreducible countable chain is positive recurrent if and only if it has a stationary distribution.
  • Lemma 21.13 (Kac) — for an irreducible chain with stationary distribution π\piπ and any nonempty set SSS: ∑x∈Sπ(x) Ex(τS+)=1\sum_{x\in S}\pi(x)\,\mathbb E_x(\tau_S^+)=1∑x∈S​π(x)Ex​(τS+​)=1; in particular Ex(τx+)=1/π(x)\mathbb E_x(\tau_x^+)=1/\pi(x)Ex​(τx+​)=1/π(x).
  • Theorem 21.14 — the convergence theorem on countable spaces: an irreducible, aperiodic, positive recurrent chain has a unique stationary distribution π\piπ, and ∥Pt(x,⋅)−π∥TV→0\|P^t(x,\cdot)-\pi\|_{TV}\to0∥Pt(x,⋅)−π∥TV​→0 from every start.
  • Theorem 21.17 — in the null recurrent case, Pt(x,y)→0P^t(x,y)\to0Pt(x,y)→0 for all pairs of states: no stationary profile is approached.

Significance

The results. Theorem 20.1 explains why laziness and aperiodicity pervade the discrete theory — periodicity is an artifact of the discrete clock. The product-chain theorem 20.7 is the cleanest instance of the nlog⁡nn\log nnlogn paradigm (independent coordinates mix in relaxation time ×log⁡(number of coordinates)\times\log(\text{number of coordinates})×log(number of coordinates)) and the template for the hypercube cutoff of Mission XI. Chapter 21's trichotomy is the backbone of applied Markov chain theory — queueing, branching, renewal — and Kac's lemma with the convergence theorem 21.14 is the standard equipment of any probability course. Pólya's theorem is one of the most celebrated results of twentieth-century probability, the birth of the random-walk-in-dimension-ddd paradigm.

Formalizing them. Mathlib has no continuous-time Markov chains, no Poissonization, and no recurrence/transience theory (its PMF random walks stop far short). The countable-state layer built here — summable stationary equations, tail-sum return times, the recurrence dichotomy — is the missing infrastructure for formalized applied probability; Pólya's theorem is a famous target in its own right, and the d≥3d\ge3d≥3 half has never been formalized in any assistant to our knowledge.

Difficulty

The heat kernel is an infinite series of matrices: convergence (dominated by the Poisson weights), the semigroup property, and the interchange of the series with matrix products and limits must all be established by hand over tsum. Theorem 20.1 avoids aperiodicity by the number-theoretic fact that the Poisson distribution smears over residue classes — formally, the continuous chain is automatically aperiodic because Ht(x,x)>0H_t(x,x)>0Ht​(x,x)>0 for t>0t>0t>0. The product-chain bounds need the ℓ2\ell^2ℓ2 machinery of Mission VII applied coordinatewise and a careful union bound; the lower bound is a Gaussian-free second-moment argument. On the countable side, everything is series bookkeeping in the absence of Fintype: the recurrence dichotomy is a generating-function (renewal) identity G(x,x)=1/Px{τx+=∞}G(x,x)=1/\mathbb P_x\{\tau_x^+=\infty\}G(x,x)=1/Px​{τx+​=∞} handled through partial sums; Kac's lemma is a mass-transport double-count over trajectories; and Theorem 21.14 needs an aperiodicity-based coupling on a countable product space, the technical summit of the mission. Pólya's theorem itself combines a local central-limit-type estimate for the return probabilities (P2t(0,0)≍t−d/2P^{2t}(0,0)\asymp t^{-d/2}P2t(0,0)≍t−d/2, obtained by Stirling in d=1,2d=1,2d=1,2 and by a comparison argument in higher dimension) with the dichotomy of Proposition 21.3.

Formalization scope

Chapter 20 lives on finite state spaces: the heat kernel is a tsum over kkk of Poisson weights times matrix powers (summability is provable, not assumed), continuous distance is a supremum over states, and the continuous mixing time is an sInf over nonnegative reals (junk 000 if the set were empty — excluded under the theorems' hypotheses). Discrete-vs-continuous comparison (Theorem 20.3) is stated with eventual thresholds (∃K,∀k≥K\exists K,\forall k\ge K∃K,∀k≥K), matching the book's asymptotic phrasing. Chapter 21 lives on a Countable type: stochasticity and stationarity are HasSum statements, ttt-step powers are defined recursively with tsum convolutions, return-time tails are countable sums of path weights over finite horizons, and recurrence/positive recurrence are the tail-limit and tail-summability conditions above — measure theory never enters. Pólya's theorem is stated for the origin of Zd\mathbb Z^dZd with the walk defined by nearest-neighbour steps; the d≤2d\le2d≤2 and d≥3d\ge3d≥3 halves are separate conjuncts of one statement.

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009. https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • G. Pólya, Über eine Aufgabe der Wahrscheinlichkeitsrechnung betreffend die Irrfahrt im Straßennetz, Math. Ann. 84 (1921). https://doi.org/10.1007/BF01458701
  • W. Feller, An Introduction to Probability Theory and Its Applications, Vol. I, 3rd ed., Wiley, 1968.
  • D. Aldous, J. A. Fill, Reversible Markov Chains and Random Walks on Graphs, 2002. https://www.stat.berkeley.edu/~aldous/RWG/book.html
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Markov Chains and Mixing Times VII: Eigenvalues and the Cheeger InequalityTextbook

Motivation

How fast does a Markov chain forget its starting point? For a reversible chain the complete answer is coded in the eigenvalues of its transition matrix: the largest eigenvalue is always 111, and the size of the gap between 111 and the rest of the spectrum is the chain's fundamental time constant — a large gap means fast mixing, a small gap means slow mixing. Chapters 12–13 of Levin–Peres–Wilmer, Markov Chains and Mixing Times (AMS, 2009) develop this spectral theory and culminate in the discrete Cheeger inequality of Jerrum–Sinclair and Lawler–Sokal, which says that the spectral gap γ\gammaγ (an analytic quantity, defined below) and the bottleneck constant Φ⋆\Phi_\starΦ⋆​ (a geometric quantity from Mission IV, also recalled below) control each other:

Φ⋆22  ≤  γ  ≤  2 Φ⋆.\frac{\Phi_\star^2}{2}\;\le\;\gamma\;\le\;2\,\Phi_\star.2Φ⋆2​​≤γ≤2Φ⋆​.

A chain mixes rapidly exactly when its state space has no bottleneck. This inequality is the backbone of the Markov-chain approach to approximate counting and of spectral graph theory at large; alongside it the chapters provide Wilson's method — the sharpest general technique for mixing-time lower bounds — and the comparison machinery that transfers spectral estimates between chains.

Setting

All chains live on a finite state space VVV. A chain with transition matrix PPP and stationary distribution π\piπ is reversible when the detailed balance equations π(x)P(x,y)=π(y)P(y,x)\pi(x)P(x,y)=\pi(y)P(y,x)π(x)P(x,y)=π(y)P(y,x) hold; reversibility is the standing assumption of both chapters. The yardsticks of the series are the total variation distance ∥μ−ν∥TV=max⁡A⊆V∣μ(A)−ν(A)∣\|\mu-\nu\|_{TV}=\max_{A\subseteq V}|\mu(A)-\nu(A)|∥μ−ν∥TV​=maxA⊆V​∣μ(A)−ν(A)∣, the worst-case distance to stationarity d(t)=max⁡x∥Pt(x,⋅)−π∥TVd(t)=\max_x\|P^t(x,\cdot)-\pi\|_{TV}d(t)=maxx​∥Pt(x,⋅)−π∥TV​, and the mixing time tmix(ε)=min⁡{t:d(t)≤ε}t_{\mathrm{mix}}(\varepsilon)=\min\{t: d(t)\le\varepsilon\}tmix​(ε)=min{t:d(t)≤ε}, with tmix=tmix(1/4)t_{\mathrm{mix}}=t_{\mathrm{mix}}(1/4)tmix​=tmix​(1/4); we write πmin⁡=min⁡xπ(x)\pi_{\min}=\min_x\pi(x)πmin​=minx​π(x).

The spectral vocabulary: an eigenfunction of PPP is a nonzero f:V→Rf:V\to\mathbb Rf:V→R with Pf=λfPf=\lambda fPf=λf, where (Pf)(x)=∑yP(x,y)f(y)(Pf)(x)=\sum_yP(x,y)f(y)(Pf)(x)=∑y​P(x,y)f(y); the number λ\lambdaλ is then an eigenvalue. Out of the spectrum one forms

  • λ2\lambda_2λ2​, the largest eigenvalue different from 111, and the spectral gap γ=1−λ2\gamma=1-\lambda_2γ=1−λ2​;
  • λ⋆\lambda_\starλ⋆​, the largest absolute value of an eigenvalue different from 111, the absolute gap γ⋆=1−λ⋆\gamma_\star=1-\lambda_\starγ⋆​=1−λ⋆​, and the relaxation time trel=1/γ⋆t_{\mathrm{rel}}=1/\gamma_\startrel​=1/γ⋆​.

Functions on VVV carry the weighted inner product ⟨f,g⟩π=∑xf(x)g(x)π(x)\langle f,g\rangle_\pi=\sum_xf(x)g(x)\pi(x)⟨f,g⟩π​=∑x​f(x)g(x)π(x) — the geometry, denoted ℓ2(π)\ell^2(\pi)ℓ2(π), in which a reversible PPP is self-adjoint — and the Dirichlet form

E(f)=12∑x,y[f(x)−f(y)]2 π(x)P(x,y),\mathcal E(f)=\tfrac12\sum_{x,y}\bigl[f(x)-f(y)\bigr]^2\,\pi(x)P(x,y),E(f)=21​x,y∑​[f(x)−f(y)]2π(x)P(x,y),

the average squared variation of fff along the chain's transitions. Finally, from Mission IV: the bottleneck ratio of a set SSS of states is Φ(S)=∑x∈S, y∉Sπ(x)P(x,y) / π(S)\Phi(S)=\sum_{x\in S,\,y\notin S}\pi(x)P(x,y)\,/\,\pi(S)Φ(S)=∑x∈S,y∈/S​π(x)P(x,y)/π(S), the conditional probability at stationarity of escaping SSS in one step, and the bottleneck constant is Φ⋆=min⁡{Φ(S):∅≠S, π(S)≤12}\Phi_\star=\min\{\Phi(S):\varnothing\ne S,\ \pi(S)\le\tfrac12\}Φ⋆​=min{Φ(S):∅=S, π(S)≤21​}.

Formalization targets

Goal

Theorem 13.14, the discrete Cheeger inequality: for a reversible irreducible chain,

Φ⋆22  ≤  γ  ≤  2 Φ⋆.\frac{\Phi_\star^2}{2}\;\le\;\gamma\;\le\;2\,\Phi_\star.2Φ⋆2​​≤γ≤2Φ⋆​.

Milestones

  • Lemma 12.1 — every eigenvalue satisfies ∣λ∣≤1|\lambda|\le1∣λ∣≤1; for an irreducible chain the eigenfunctions of the eigenvalue 111 are the constant functions; an irreducible aperiodic chain does not have −1-1−1 as an eigenvalue.
  • Lemma 12.2 — the spectral representation: a reversible chain admits eigenfunctions f1,…,f∣V∣f_1,\dots,f_{|V|}f1​,…,f∣V∣​, orthonormal with respect to ⟨⋅,⋅⟩π\langle\cdot,\cdot\rangle_\pi⟨⋅,⋅⟩π​, with eigenvalues λj\lambda_jλj​, such that Pt(x,y)/π(y)=∑jfj(x)fj(y)λjtP^t(x,y)/\pi(y)=\sum_jf_j(x)f_j(y)\lambda_j^tPt(x,y)/π(y)=∑j​fj​(x)fj​(y)λjt​ for all t,x,yt,x,yt,x,y.
  • Theorem 12.3 — mixing is at most relaxation times a log factor: tmix(ε)≤log⁡(1/(ε πmin⁡)) trel+1t_{\mathrm{mix}}(\varepsilon)\le\log\bigl(1/(\varepsilon\,\pi_{\min})\bigr)\,t_{\mathrm{rel}}+1tmix​(ε)≤log(1/(επmin​))trel​+1.
  • Theorem 12.4 — mixing is at least the relaxation time: tmix(ε)≥(trel−1)log⁡(1/(2ε))t_{\mathrm{mix}}(\varepsilon)\ge(t_{\mathrm{rel}}-1)\log\bigl(1/(2\varepsilon)\bigr)tmix​(ε)≥(trel​−1)log(1/(2ε)).
  • §12.3.1 — the model computation: simple random walk on the nnn-cycle has the numbers cos⁡(2πj/n)\cos(2\pi j/n)cos(2πj/n), j=0,…,n−1j=0,\dots,n-1j=0,…,n−1, among its eigenvalues.
  • Theorem 13.1 — if every pair of states admits a coupling of the two one-step distributions that contracts some metric ρ\rhoρ on VVV by a factor θ\thetaθ in expectation, then λ⋆≤θ\lambda_\star\le\thetaλ⋆​≤θ.
  • Theorem 13.5, Wilson's method — an eigenfunction Φ\PhiΦ with eigenvalue λ∈(12,1)\lambda\in(\tfrac12,1)λ∈(21​,1) whose one-step increments have second moment at most RRR yields the explicit lower bound tmix(ε)≥[2log⁡(1/λ)]−1[log⁡((1−λ)Φ(x)2/(2R))+log⁡((1−ε)/ε)]t_{\mathrm{mix}}(\varepsilon)\ge\bigl[2\log(1/\lambda)\bigr]^{-1}\bigl[\log\bigl((1-\lambda)\Phi(x)^2/(2R)\bigr)+\log\bigl((1-\varepsilon)/\varepsilon\bigr)\bigr]tmix​(ε)≥[2log(1/λ)]−1[log((1−λ)Φ(x)2/(2R))+log((1−ε)/ε)].
  • Lemmas 13.11–13.12 — the variational characterization: γ\gammaγ is the minimum of E(f)\mathcal E(f)E(f) over functions with mean zero (∑xf(x)π(x)=0\sum_xf(x)\pi(x)=0∑x​f(x)π(x)=0) and unit norm (⟨f,f⟩π=1\langle f,f\rangle_\pi=1⟨f,f⟩π​=1), and the minimum is attained.
  • Lemma 13.22 — the comparison method: if a second reversible chain P~\tilde PP~ on the same space, with stationary distribution π~\tilde\piπ~, Dirichlet form E~\tilde{\mathcal E}E~, and gap γ~\tilde\gammaγ~​, satisfies E~(f)≤B E(f)\tilde{\mathcal E}(f)\le B\,\mathcal E(f)E~(f)≤BE(f) for every fff, then γ~≤[max⁡xπ(x)/π~(x)]B γ\tilde\gamma\le\bigl[\max_x\pi(x)/\tilde\pi(x)\bigr]B\,\gammaγ~​≤[maxx​π(x)/π~(x)]Bγ.

Significance

The results. Theorems 12.3–12.4 sandwich the mixing time between trelt_{\mathrm{rel}}trel​ and trellog⁡(1/πmin⁡)t_{\mathrm{rel}}\log(1/\pi_{\min})trel​log(1/πmin​) — the fundamental equivalence of spectral and mixing estimates for reversible chains, prerequisite for the cutoff criterion of Mission XI. The Cheeger inequality converts isoperimetry into spectral bounds; it is the mathematical core of the Jerrum–Sinclair program of polynomial-time approximate counting, and its graph version underlies expander theory. Wilson's method produced the sharp lower bounds for adjacent transpositions and hypercube-type chains; the comparison lemma is the engine behind the shuffle bounds cited in Mission V (§16.1).

Formalizing them. Mathlib has the spectral theorem for symmetric matrices but nothing connecting spectra to Markov chains: no spectral gap, no relaxation time, no Dirichlet forms, no Cheeger inequality in any form. A formalized discrete Cheeger inequality would be a landmark reusable well outside this series (spectral graph theory, expanders); the eigenvalue and Rayleigh-quotient layer built here is what Missions IX (tree relaxation, block dynamics) and XI (cutoff criterion) consume.

Difficulty

Everything routes through one change of basis: conjugating PPP by the diagonal matrix with entries π(x)\sqrt{\pi(x)}π(x)​ produces a matrix that is symmetric precisely because the chain is reversible, so Mathlib's spectral theorem applies — but transporting the resulting eigenbasis back to ℓ2(π)\ell^2(\pi)ℓ2(π), keeping track of orthonormality with respect to the weighted inner product, is a genuine formal-linear-algebra project; nothing about it is deep, all of it is fussy. The definitions of λ2\lambda_2λ2​ and λ⋆\lambda_\starλ⋆​ as suprema over the set of non-unit eigenvalues (finite, and nonempty once ∣V∣≥2|V|\ge2∣V∣≥2) must be reconciled with the eigenbasis enumeration before any variational argument runs. The upper half of Cheeger is direct from the variational characterization — test it on the indicator function of a bottleneck set SSS, recentred to have mean zero; the lower half is the hard half: the standard proof takes an optimal fff, decomposes it over its level sets {f>c}\{f>c\}{f>c}, and applies Cauchy–Schwarz twice, and formalizing that level-set sweep is the main effort of the mission. Wilson's method needs a supermartingale-style iteration of the eigenfunction estimate; its constants are exact, so the inequalities cannot be rounded.

Formalization scope

Eigenvalues are defined by real eigenvectors (∃f≠0, Pf=λf\exists f\ne0,\ Pf=\lambda f∃f=0, Pf=λf); for reversible chains this captures the whole spectrum, and all statements assume reversibility wherever the book does. λ2\lambda_2λ2​ and λ⋆\lambda_\starλ⋆​ are suprema of explicit sets of reals; on a one-point space these sets are empty and the supremum takes a junk value, so the affected statements carry the explicit hypothesis ∣V∣≥2|V|\ge2∣V∣≥2, matching the book's implicit assumption of a non-degenerate chain. trel=(1−λ⋆)−1t_{\mathrm{rel}}=(1-\lambda_\star)^{-1}trel​=(1−λ⋆​)−1 with total inverse. Theorem 12.3 carries an explicit +1+1+1 absorbing the rounding of a real-valued bound to an integer time. The cycle eigenvalue statement exhibits eigenvalues (existence of eigenfunctions); completeness of that list is not asserted. The variational characterization asserts both the minimization identity and its attainment, so it can be used in either direction.

Welcome contributions: the symmetrization API (conjugation by diag(π)\mathrm{diag}(\sqrt{\pi})diag(π​)), Rayleigh-quotient lemmas, level-set (layer-cake) infrastructure — all reused by Missions IX and XI.

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009. https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • M. Jerrum, A. Sinclair, Approximating the permanent, SIAM J. Comput. 18 (1989). https://doi.org/10.1137/0218077
  • G. F. Lawler, A. D. Sokal, Bounds on the L² spectrum for Markov chains and Markov processes, Trans. Amer. Math. Soc. 309 (1988). https://doi.org/10.1090/S0002-9947-1988-0930082-9
  • D. B. Wilson, Mixing times of lozenge tiling and card shuffling Markov chains, Ann. Appl. Probab. 14 (2004). https://doi.org/10.1214/aoap/1042765669
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ProbabilityStochastic Systems·Captain: Shuze Chen

Markov Chains and Mixing Times IV: Lower Bounds on Mixing TimesTextbook

Motivation

Missions II–III produce upper bounds on mixing times. Whether such a bound is sharp is a different question: an O(n2)O(n^2)O(n2) bound on a chain that actually mixes in nlog⁡nn\log nnlogn steps hides the truth. Chapter 7 of Levin–Peres–Wilmer, Markov Chains and Mixing Times (AMS, 2009) develops the standard toolkit of lower bounds: the counting and diameter bounds (a chain cannot spread faster than its transition graph allows), the bottleneck ratio (a chain cannot mix faster than it crosses its worst cut), and distinguishing statistics (a chain is far from stationarity as long as some statistic separates Pt(x,⋅)P^t(x,\cdot)Pt(x,⋅) from π\piπ by several standard deviations). The bottleneck bound — closely related to the conductance of the chain and, via Mission VII, to the Cheeger inequality — is the single most important obstruction result in the subject: it is how slow mixing (torpid mixing of Ising at low temperature, in Mission IX) is proved.

Setting

For a chain PPP with stationary distribution π\piπ, the edge measure is Q(x,y)=π(x)P(x,y)Q(x,y)=\pi(x)P(x,y)Q(x,y)=π(x)P(x,y), the bottleneck ratio of a set SSS of states is

Φ(S)=Q(S,Sc)π(S),Q(S,Sc)=∑x∈S, y∉Sπ(x)P(x,y),\Phi(S)=\frac{Q(S,S^{c})}{\pi(S)},\qquad Q(S,S^c)=\sum_{x\in S,\,y\notin S}\pi(x)P(x,y),Φ(S)=π(S)Q(S,Sc)​,Q(S,Sc)=x∈S,y∈/S∑​π(x)P(x,y),

and the bottleneck ratio of the chain is Φ⋆=min⁡{Φ(S):π(S)≤12, S≠∅}\Phi_\star=\min\{\Phi(S):\pi(S)\le\tfrac12,\ S\neq\varnothing\}Φ⋆​=min{Φ(S):π(S)≤21​, S=∅}. The maximal one-step out-degree is Δ=max⁡x∣{y:P(x,y)>0}∣\Delta=\max_x|\{y:P(x,y)>0\}|Δ=maxx​∣{y:P(x,y)>0}∣; the diameter is measured in the graph joining x≠yx\ne yx=y when P(x,y)+P(y,x)>0P(x,y)+P(y,x)>0P(x,y)+P(y,x)>0. For a statistic f:V→Rf:V\to\mathbb Rf:V→R and distribution μ\muμ, Eμ(f)\mathbb E_\mu(f)Eμ​(f) and Var⁡μ(f)\operatorname{Var}_\mu(f)Varμ​(f) are the finite-sum expectation and variance, and μf−1\mu f^{-1}μf−1 denotes the pushforward of μ\muμ under fff.

Formalization targets

Goal

tmix  ≥  14Φ⋆.t_{\mathrm{mix}}\;\ge\;\frac{1}{4\Phi_\star}.tmix​≥4Φ⋆​1​.

This is Theorem 7.3, the bottleneck-ratio lower bound, the chapter's central theorem.

Milestones

The counting bound tmix(ε)≥log⁡(∣V∣(1−ε))/log⁡Δt_{\mathrm{mix}}(\varepsilon)\ge\log\bigl(|V|(1-\varepsilon)\bigr)/\log\Deltatmix​(ε)≥log(∣V∣(1−ε))/logΔ for chains with uniform stationary distribution (§7.1.1, display (7.2)); the diameter bound: any two states satisfy dist(x0,y0)≤2 tmix(ε)\mathrm{dist}(x_0,y_0)\le 2\,t_{\mathrm{mix}}(\varepsilon)dist(x0​,y0​)≤2tmix​(ε) for ε<1/2\varepsilon<1/2ε<1/2 (§7.1.2, display (7.3)); Proposition 7.8 (a statistic separating means by rrr standard deviations forces ∥μ−ν∥TV≥1−4/(4+r2)\|\mu-\nu\|_{\mathrm{TV}}\ge1-4/(4+r^2)∥μ−ν∥TV​≥1−4/(4+r2)); Lemma 7.9 (projection under a statistic does not increase TV distance); Proposition 7.13 (the lazy hypercube walk satisfies d(12nlog⁡n−αn)≥1−8e1−2αd(\tfrac12 n\log n-\alpha n)\ge 1-8e^{1-2\alpha}d(21​nlogn−αn)≥1−8e1−2α); and Proposition 7.14 (the top-to-random shuffle needs nlog⁡n−O(n)n\log n-O(n)nlogn−O(n) shuffles, matching the upper bound of Mission III).

Significance

The results. Together with Mission III this pins the top-to-random shuffle at nlog⁡n±O(n)n\log n\pm O(n)nlogn±O(n) — the first sharp mixing result of the series, and the prototype of the cutoff phenomenon formalized in Mission XI. Proposition 7.13 similarly matches the hypercube upper bound and feeds the cutoff analysis. The bottleneck bound is used in Mission IX to prove exponentially slow mixing of the mean-field Ising model at low temperature, and its two-sided refinement is the Cheeger inequality of Mission VII.

Formalizing them. Mathlib has no notion of conductance/bottleneck ratio of a chain, no distinguishing-statistic method, and no mixing-time lower bound of any kind. The pushforward and variance infrastructure over finitely supported distributions is elementary but new, and reusable wherever second-moment methods appear (Wilson's method in Mission VII).

Difficulty

The bottleneck theorem's proof is short but exact: it hinges on the identity π(S)∥μSP−μS∥TV=Q(S,Sc)\pi(S)\|\mu_S P-\mu_S\|_{\mathrm{TV}}=Q(S,S^c)π(S)∥μS​P−μS​∥TV​=Q(S,Sc) for π\piπ conditioned on SSS, followed by a telescoping estimate of ∥μSPt−μS∥TV\|\mu_S P^t-\mu_S\|_{\mathrm{TV}}∥μS​Pt−μS​∥TV​; the formal cost is manipulating conditioned measures and one-sided TV sums (Remark 4.3 from Mission II). For Proposition 7.8, the second-moment argument runs through Chebyshev on both distributions plus optimization of a threshold — the constants 4/(4+r2)4/(4+r^2)4/(4+r2) are exact, not asymptotic, so the formal inequalities must be done carefully. Proposition 7.13 requires the binomial mean/variance computation for Hamming weight under both π\piπ and Pt(1,⋅)P^t(\mathbf 1,\cdot)Pt(1,⋅), including the negative-correlation bound for unrefreshed coordinates. The naive route to a lower bound — "the chain has not left a small set, so it is far from π\piπ" — is precisely the counting bound and is too weak for the sharp results; the statistics method is what closes the gap.

Formalization scope

Φ⋆\Phi_\starΦ⋆​ is an infimum over the subtype of nonempty sets with π(S)≤12\pi(S)\le\tfrac12π(S)≤21​; on a one-point space this subtype is empty and the infimum takes a junk value, making the goal trivially true there (the bound carries content only for ∣V∣≥2|V|\ge2∣V∣≥2, as in the book). The counting bound divides by log⁡Δ\log\DeltalogΔ with total division (Δ≤1\Delta\le1Δ≤1 gives a trivially true statement). The diameter bound is stated for arbitrary pairs of states through SimpleGraph.dist of the transition graph, which subsumes the book's diameter formulation. Propositions 7.13 and 7.14 are stated for all integer times t≤12nlog⁡n−αnt\le\frac12 n\log n-\alpha nt≤21​nlogn−αn (resp. t≤nlog⁡n−αnt\le n\log n-\alpha nt≤nlogn−αn), using monotonicity of ddd instead of evaluating at a real-valued time — this avoids floor artifacts while keeping the book's content. Proposition 7.14 quantifies "α\alphaα large, then nnn large" exactly as the book's iterated limit.

Welcome contributions: monotonicity of d(t)d(t)d(t) in ttt; conditioned-measure lemmas; variance API for distExp/distVar.

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009. https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • M. Jerrum, A. Sinclair, Approximating the permanent, SIAM J. Comput. 18 (1989). https://doi.org/10.1137/0218077
  • D. Aldous, P. Diaconis, Shuffling cards and stopping times, Amer. Math. Monthly 93 (1986). https://doi.org/10.1080/00029890.1986.11971821
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ProbabilityStochastic Systems·Captain: Shuze Chen

Markov Chains and Mixing Times III: Coupling and Strong Stationary TimesTextbook

Motivation

The Convergence Theorem of Mission II says an irreducible aperiodic chain mixes geometrically, but with constants coming from a crude Doeblin decomposition — useless for actual chains, whose state spaces are exponentially large. Chapters 5–6 of Levin–Peres–Wilmer, Markov Chains and Mixing Times (AMS, 2009) develop the two classic probabilistic techniques that give useful upper bounds: coupling — run two copies of the chain jointly so that they meet quickly, and read a TV bound off the meeting time — and strong stationary times — random times at which the chain is exactly stationary, independent of the time. The flagship application is the top-to-random shuffle: repeatedly take the top card of a deck of nnn cards and reinsert it at a uniform position; the deck is well mixed after nlog⁡n+cnn\log n + cnnlogn+cn shuffles, with error at most e−ce^{-c}e−c.

Setting

A Markovian coupling of a chain PPP (with the stay-together convention (5.2)) is a chain QQQ on pairs whose coordinate marginals are both PPP and which moves diagonal states to diagonal states. The coupling time τcouple\tau_{\mathrm{couple}}τcouple​ is the hitting time of the diagonal; its tails are expressed with the trajectory calculus of Mission I.

A randomized stopping time is presented by its stopping rule: for each time ttt and trajectory prefix ω\omegaω, a number st(ω)∈[0,1]s_t(\omega)\in[0,1]st​(ω)∈[0,1], the conditional probability of stopping at ttt given the trajectory so far and no earlier stop. A strong stationary time for the chain started at xxx is an almost surely finite such τ\tauτ with

Px{τ=t, Xτ=y}=Px{τ=t} π(y),\mathbb P_x\{\tau=t,\ X_\tau=y\}=\mathbb P_x\{\tau=t\}\,\pi(y),Px​{τ=t, Xτ​=y}=Px​{τ=t}π(y),

i.e. Xτ∼πX_\tau\sim\piXτ​∼π independent of τ\tauτ. The separation distance is sx(t)=max⁡y [1−Pt(x,y)/π(y)]s_x(t)=\max_y\,[1-P^t(x,y)/\pi(y)]sx​(t)=maxy​[1−Pt(x,y)/π(y)].

The mission also fixes the concrete chains it bounds: the lazy walk on the discrete torus Znd\mathbb Z_n^dZnd​, the Metropolis chain on proper qqq-colorings of a graph, the Glauber dynamics of the hardcore model with fugacity λ\lambdaλ, and the top-to-random shuffle on decks of nnn cards (states are arrangements, i.e. permutations; position 000 is the top).

Formalization targets

Goal

Let d(t)=max⁡x∥Pt(x,⋅)−π∥TVd(t)= \max_x\|P^t (x,\cdot)−\pi\|_{TV}d(t)=maxx​∥Pt(x,⋅)−π∥TV​,

d(⌈nlog⁡n+αn⌉)  ≤  e−α(α>0)d\bigl(\lceil n\log n+\alpha n\rceil\bigr)\;\le\;e^{-\alpha}\qquad(\alpha>0)d(⌈nlogn+αn⌉)≤e−α(α>0)

for the top-to-random shuffle on n≥2n\ge2n≥2 cards — display (6.16) of the book, the chapter's flagship bound, proved by combining the strong stationary time τtop\tau_{\mathrm{top}}τtop​ with the coupon collector tail of Mission I.

Milestones

Theorem 5.2 and Corollary 5.3 (the coupling bound: ∥Pt(x,⋅)−Pt(y,⋅)∥TV≤Px,y{τcouple>t}\|P^t(x,\cdot)-P^t(y,\cdot)\|_{\mathrm{TV}}\le\mathbb P_{x,y}\{\tau_{\mathrm{couple}}>t\}∥Pt(x,⋅)−Pt(y,⋅)∥TV​≤Px,y​{τcouple​>t}, hence d(t)≤max⁡x,yPx,y{τcouple>t}d(t)\le\max_{x,y}\mathbb P_{x,y}\{\tau_{\mathrm{couple}}>t\}d(t)≤maxx,y​Px,y​{τcouple​>t}); Theorem 5.5 (tmix(ε)≤c(d) n2log⁡2ε−1t_{\mathrm{mix}}(\varepsilon)\le c(d)\,n^2\log_2\varepsilon^{-1}tmix​(ε)≤c(d)n2log2​ε−1 for the lazy torus walk); Theorem 5.7 (Metropolis colorings, q>3Δq>3\Deltaq>3Δ: mixing in O(nlog⁡n)O(n\log n)O(nlogn)); Theorem 5.8 (hardcore Glauber, λ<(Δ−1)−1\lambda<(\Delta-1)^{-1}λ<(Δ−1)−1: mixing in O(nlog⁡n)O(n\log n)O(nlogn)); Proposition 6.1 with Example 6.7 (τtop\tau_{\mathrm{top}}τtop​ is a strong stationary time); Lemma 6.11 (sx(t)≤Px{τ>t}s_x(t)\le\mathbb P_x\{\tau>t\}sx​(t)≤Px​{τ>t}); Lemma 6.13 (∥Pt(x,⋅)−π∥TV≤sx(t)\|P^t(x,\cdot)-\pi\|_{\mathrm{TV}}\le s_x(t)∥Pt(x,⋅)−π∥TV​≤sx​(t)); Proposition 6.10 (d(t)≤max⁡xPx{τ>t}d(t)\le\max_x\mathbb P_x\{\tau>t\}d(t)≤maxx​Px​{τ>t}).

Significance

The results. The coupling bound is the single most used upper-bound technique in the subject: Missions VIII (path coupling), IX (Ising) and XI (cutoff examples) all instantiate it. Strong stationary times and separation distance return in Mission XI (separation cutoff) and underlie perfect sampling in Mission XIII. The three concrete bounds (torus, colorings, hardcore) are the standard first applications and give the first polynomial mixing results of the series; the colorings and hardcore chains are the objects of intense ongoing research on sampling thresholds.

Formalizing them. Nothing here exists in Mathlib. The novel infrastructure is the stopping-rule formalization of randomized stopping times over trajectory prefixes — measure-theory-free, but expressive enough for the strong stationarity identity — and the Markovian-coupling predicate on pair chains. Both are reused later in the series (Matthews method, cutoff, CFTP).

Difficulty

The coupling bound itself is short once Proposition 4.7 (Mission II) is available; the work is in the applications. For the torus, the coordinatewise coupling requires assembling ddd one-dimensional couplings and bounding the coupling time by a sum of one-dimensional meeting times — the formal bookkeeping of "couple coordinate by coordinate" is the real cost, and the constant c(d)c(d)c(d) absorbs it. For Theorem 5.7 and 5.8 the argument is a grand coupling over all colorings/configurations simultaneously; the formal statements quantify only over the resulting bound, but a solver must build the coupling. For Proposition 6.1, the crux is the induction "given kkk cards under the original bottom card, all k!k!k! orders are equally likely" — an exchangeability argument that must be carried through the stopping-rule encoding. Lemma 6.11 is where the definition of strong stationarity does its work; the naive attempt to prove Proposition 6.10 directly from the coupling characterization fails, which is exactly why separation distance is introduced.

Formalization scope

Couplings of chains are transition matrices on V×VV\times VV×V with marginal conditions stated row by row; the stay-together convention is part of the predicate, matching (5.2). Stopping rules take the trajectory prefix (which includes the starting state), so times "depending on the starting position" are covered; strong stationarity packages the stopping rule bounds, almost-sure finiteness (∑tPx{τ=t}=1\sum_t\mathbb P_x\{\tau=t\}=1∑t​Px​{τ=t}=1), and the product identity. The colorings chain lives on the subtype of proper colorings; the hardcore chain is the Glauber dynamics of Mission II restricted to the subtype of hardcore configurations (transitions never leave it). Mixing-time upper bounds carry an explicit +1+1+1 for integer rounding where the book's real-valued display would otherwise be false for the integer-valued tmixt_{\mathrm{mix}}tmix​. The torus statement fixes ε≤1/2\varepsilon\le 1/2ε≤1/2; for ε\varepsilonε near 111 the display is false as stated in the book.

Welcome contributions: interface lemmas between setAvoidTailProb of the pair chain and the two coordinates; the taboo-matrix form of coupling-time tails; exchangeability infrastructure for the deck chains (reused in Mission V).

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009. https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • D. Aldous, P. Diaconis, Shuffling cards and stopping times, Amer. Math. Monthly 93 (1986). https://doi.org/10.1080/00029890.1986.11971821
  • P. Diaconis, J. A. Fill, Strong stationary times via a new form of duality, Ann. Probab. 18 (1990). https://doi.org/10.1214/aop/1176990628
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Operations ResearchStochastic Systems·Captain: naimengye

Stochastic Networks III: Loss Networks and the Erlang Fixed PointTextbook

Motivation

Erlang's formula, the subject of mission I of this series, sizes a single telephone link. Real networks are not single links: a call occupies a circuit on every link of its route simultaneously, and it is lost unless every one of those links has a free circuit. That is the loss network, the model of Chapter 3 of Frank Kelly and Elena Yudovina's Stochastic Networks (Cambridge University Press, 2014), and it describes not only circuit-switched telephony but any system in which a request must acquire several resources at once or be refused: wavelength assignment in optical networks, radio channel allocation under interference constraints, slot booking, and admission control generally. The term used in those application areas is circuit-switched: before a request is accepted it is checked that enough resource is available for each stage of it.

The exact equilibrium distribution of a loss network is known and has product form. It is also useless for computation — its normalizing constant is a sum over the feasible states, and for a general resource matrix computing it is NP-hard. What practitioners use instead is the Erlang fixed point: pretend the links block independently, so that the traffic offered to link jjj is the traffic on the routes through it thinned by the blocking probability of every other link on each route, and then apply Erlang's formula link by link. The result is a system of coupled copies of Erlang's formula. The chapter's aim, in its own words, is to give insight into why that approximation works as well as it does; the first step is to show that it is well posed at all.

Setting

The links are J={1,…,J}\mathcal{J} = \{1,\dots,J\}J={1,…,J}, link jjj carrying CjC_jCj​ circuits. A route rrr belongs to a set R\mathcal{R}R of RRR routes, and the link-route incidence matrix AAA records how much of each link a route needs: a call on route rrr requires AjrA_{jr}Ajr​ circuits from link jjj and is lost if any link has fewer than AjrA_{jr}Ajr​ free. (The classical case is AAA a 000–111 matrix and Ajr=1A_{jr}=1Ajr​=1 exactly when j∈rj\in rj∈r; from section 3.3 the book allows any non-negative integers.)

Calls requesting route rrr arrive as a Poisson process of rate νr\nu_rνr​, independently across routes, and hold their circuits for an exponentially distributed time of unit mean. Writing nrn_rnr​ for the number of calls in progress on route rrr, the process n=(nr)n=(n_r)n=(nr​) is Markov on

S(C)={n∈Z+R:An≤C},S(C)=\{n\in\mathbb{Z}_+^{R} : An\le C\},S(C)={n∈Z+R​:An≤C},

and is called a loss network with fixed routing.

Write E(ν,C)E(\nu,C)E(ν,C) for Erlang's formula, E(ν,C)=νC/C!∑j=0Cνj/j!E(\nu,C)=\dfrac{\nu^{C}/C!}{\sum_{j=0}^{C}\nu^{j}/j!}E(ν,C)=∑j=0C​νj/j!νC/C!​, published in mission I of this series. The Erlang fixed point equations are

Ej  =  E ⁣((1−Ej)−1∑rAjr νr∏i(1−Ei)Air,  Cj),j=1,…,J.(3.7)E_j \;=\; E\!\left((1-E_j)^{-1}\sum_r A_{jr}\,\nu_r\prod_i (1-E_i)^{A_{ir}},\; C_j\right), \qquad j=1,\dots,J. \tag{3.7}Ej​=E((1−Ej​)−1r∑​Ajr​νr​i∏​(1−Ei​)Air​,Cj​),j=1,…,J.(3.7)

The factor (1−Ej)−1(1-E_j)^{-1}(1−Ej​)−1 removes link jjj's own thinning from the product, so in the 000–111 case the argument is ∑r∋jνr∏i∈r∖{j}(1−Ei)\sum_{r\ni j}\nu_r\prod_{i\in r\setminus\{j\}}(1-E_i)∑r∋j​νr​∏i∈r∖{j}​(1−Ei​), the reduced load offered to link jjj.

Formalization targets

Goal — Theorem 3.20, existence and uniqueness of the Erlang fixed point

∃! (E1,…,EJ)∈[0,1]J satisfying (3.7).\exists!\,(E_1,\dots,E_J)\in[0,1]^J \text{ satisfying } (3.7).∃!(E1​,…,EJ​)∈[0,1]J satisfying (3.7).

The goal fixes no formula for EEE and no rate of convergence: it asserts only that the approximation the field has used since the 1960s names a single, well-defined object. Existence alone is a short argument from Brouwer's theorem, since (3.7) defines a continuous self-map of the compact convex cube [0,1]J[0,1]^J[0,1]J; uniqueness is the substance.

Supporting levels

The exact theory that the fixed point approximates: Lemma 3.4 on truncating a reversible process; the uncapacitated network as an instance of the open migration product form of mission II; equation (3.3), the exact equilibrium distribution π(n)=G(C)∏rνrnr/nr!\pi(n)=G(C)\prod_r \nu_r^{n_r}/n_r!π(n)=G(C)∏r​νrnr​​/nr​! on S(C)S(C)S(C); and the acceptance probability 1−Lr=G(C)/G(C−Aer)1-L_r=G(C)/G(C-Ae_r)1−Lr​=G(C)/G(C−Aer​). Then the optimization side: that E(ν,C)E(\nu,C)E(ν,C) and the utilization ν(1−E(ν,C))\nu(1-E(\nu,C))ν(1−E(ν,C)) are strictly increasing in ν\nuν, which is what makes the revised dual objective strictly convex; and Theorem 3.10, that a minimizer of the Dual problem (3.5) over the positive orthant satisfies the conditions on BBB, equation (3.6).

Significance

The result itself. Without Theorem 3.20 the phrase "the Erlang fixed point" is not well formed, and neither is any engineering procedure that computes one — repeated substitution converges to a solution, and damped iteration is guaranteed to converge to one, but "the blocking probabilities predicted by the reduced-load approximation" names a unique vector only because of this theorem. The proof is also the interesting part: the fixed point equations are re-read as the stationary conditions of a strictly convex minimization, the revised dual (3.8), which is the Dual problem (3.5) of the maximum-probability analysis with its linear term replaced by ∫0yjU(z,Cj) dz\int_0^{y_j}U(z,C_j)\,dz∫0yj​​U(z,Cj​)dz. That connection is what later lets the book prove the approximation asymptotically exact in a limiting regime: Corollary 3.22 says the Erlang fixed point converges to the vector BBB coming from the maximum-probability problem.

Formalizing it. Nothing here is open. What the mission produces is the loss network model in Lean — state space, truncated rates, normalizing constant, incidence matrix — and a machine-checked statement of the object the reduced-load approximation computes. It is also where this series' earlier missions pay off: the uncapacitated network is literally the open migration process of mission II with λ≡0\lambda\equiv 0λ≡0, μ≡1\mu\equiv 1μ≡1, φj(n)=n\varphi_j(n)=nφj​(n)=n, and the exact distribution (3.3) is its truncation by Lemma 3.4 to the feasible set, using the DetailedBalance layer of mission I. Mathlib has no loss network theory and no Erlang formula beyond what mission I published.

Difficulty

Existence of a fixed point is easy and is not where the difficulty lies. Uniqueness resists every direct attack: the map defined by (3.7) is not a contraction in any obvious metric, its monotonicity structure is not the kind that forces a unique fixed point, and iterating it undamped can cycle. The book's route is indirect — exhibit a strictly convex function whose stationary conditions are exactly (3.7) — and finding that function is the whole content. Its strict convexity comes from a monotonicity fact about Erlang's formula, that the utilization ν(1−E(ν,C))\nu\bigl(1-E(\nu,C)\bigr)ν(1−E(ν,C)) is strictly increasing in ν\nuν, which is itself a milestone here.

A second, formal difficulty: the equations involve (1−Ej)−1(1-E_j)^{-1}(1−Ej​)−1, so a solution with Ej=1E_j=1Ej​=1 would be meaningless. It is worth checking before starting that no such solution exists for Cj≥1C_j\ge 1Cj​≥1, rather than assuming it.

Formalization scope

Routes and links are indexed by finite types, the incidence matrix has natural-number entries (the general case of section 3.3, not only 000–111), capacities are natural numbers, and arrival rates are positive reals. The feasible set S(C)S(C)S(C) is a subset of the state space, and a truncated process is the rate matrix restricted to that subset — which is exactly the book's truncation, since a transition leaving the set simply has no target.

Conventions: holding times have unit mean throughout, matching the book, so the departure rate from route rrr is nrn_rnr​ and no separate service-rate parameter appears. Normalizing constants are introduced through summability hypotheses that assert convergence and the value together, rather than as possibly-infinite quantities; G(C)G(C)G(C) is the reciprocal of the sum in the book's notation. Capacities are assumed at least 111 in the goal: a link with no circuits blocks everything, E(ν,0)=1E(\nu,0)=1E(ν,0)=1 identically, and the factor (1−Ej)−1(1-E_j)^{-1}(1−Ej​)−1 would then be undefined rather than merely large.

The goal cannot be satisfied trivially: it is a uniqueness statement, so a vacuous or degenerate reading would have to produce no solution, and existence is half of what is asserted.

Contributions welcome beyond the listed items: the Brouwer argument for existence of a solution to the 000–111 equations (3.1) of section 3.2; the utilization function U(y,C)U(y,C)U(y,C) and the revised dual (3.8); the central limit theorem 3.14 and Corollary 3.17; Lemma 3.21 and Corollary 3.22 on the limiting regime; and the diverse-routing models of section 3.7.

Selected references

  • Frank Kelly and Elena Yudovina, Stochastic Networks, Cambridge University Press, 2014, Chapter 3 (pp. 49–82); Lemma 3.4, equation (3.3), Theorems 3.10 and 3.20, equations (3.1), (3.5)–(3.9). DOI 10.1017/cbo9781139565363
  • F. P. Kelly, Loss networks, Annals of Applied Probability 1 (1991), 319–378. DOI 10.1214/aoap/1177005872
  • F. P. Kelly, Blocking probabilities in large circuit-switched networks, Advances in Applied Probability 18 (1986), 473–505. DOI 10.2307/1427303
  • R. B. Cooper and S. Katz, Analysis of alternate routing networks with account taken of the nonrandomness of overflow traffic, Bell Telephone Laboratories memorandum, 1964.
  • Frank Kelly, Reversibility and Stochastic Networks, Cambridge University Press, 2011 (reissue of the 1979 edition), Chapter 1 on truncation.
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Markov Chains and Mixing Times VIII: Path Coupling and Approximate CountingTextbook

Motivation

The coupling method of Mission III asks for a coupling of two copies of a chain from every pair of starting states — often painful to construct globally. Chapter 14 of Levin–Peres–Wilmer, Markov Chains and Mixing Times (AMS, 2009) replaces that global demand by a local one. The path coupling technique of Bubley and Dyer says: put a connected graph structure on the state space, and couple one step of the chain only across edges; if each edge contracts in expectation, contraction propagates automatically along paths to arbitrary pairs of distributions. The bookkeeping runs through the transportation metric (Kantorovich distance) between distributions, whose theory — attainment by an optimal coupling, the triangle inequality — is developed on the way. The chapter's payoff is the sharpest elementary bound for sampling proper colorings (Theorem 14.8: the Glauber dynamics mixes in O(nlog⁡n)O(n\log n)O(nlogn) steps once q>2Δq>2\Deltaq>2Δ), and, through the sampling-to-counting reduction of Jerrum–Valiant–Vazirani, a polynomial-time approximation algorithm for counting colorings — the paradigm of the Markov chain Monte Carlo method as an algorithmic tool.

Setting

All chains live on a finite state space VVV with a transition matrix PPP; Pt(x,⋅)P^t(x,\cdot)Pt(x,⋅) is the time-ttt distribution from xxx, ∥μ−ν∥TV=max⁡A⊆V∣μ(A)−ν(A)∣\|\mu-\nu\|_{TV}=\max_{A\subseteq V}|\mu(A)-\nu(A)|∥μ−ν∥TV​=maxA⊆V​∣μ(A)−ν(A)∣ the total variation distance, d(t)=max⁡x∥Pt(x,⋅)−π∥TVd(t)=\max_x\|P^t(x,\cdot)-\pi\|_{TV}d(t)=maxx​∥Pt(x,⋅)−π∥TV​ the worst-case distance to the stationary distribution π\piπ, and tmix(ε)=min⁡{t:d(t)≤ε}t_{\mathrm{mix}}(\varepsilon)=\min\{t:d(t)\le\varepsilon\}tmix​(ε)=min{t:d(t)≤ε} the mixing time. A coupling of distributions μ,ν\mu,\nuμ,ν is a distribution qqq on V×VV\times VV×V with marginals μ\muμ and ν\nuν.

Given a metric-like cost ρ\rhoρ on pairs of states, the transportation metric between two distributions is the cheapest expected cost of moving one onto the other:

ρK(μ,ν)=min⁡{∑x,yρ(x,y) q(x,y)  :  q a coupling of μ,ν}.\rho_K(\mu,\nu)=\min\Bigl\{\sum_{x,y}\rho(x,y)\,q(x,y)\;:\;q\ \text{a coupling of}\ \mu,\nu\Bigr\}.ρK​(μ,ν)=min{x,y∑​ρ(x,y)q(x,y):q a coupling of μ,ν}.

Given a connected graph structure GGG on the state space with edge lengths ℓ≥1\ell\ge1ℓ≥1, the path metric ρ(x,y)\rho(x,y)ρ(x,y) is the least total length of a GGG-path from xxx to yyy.

For the colorings application: a qqq-coloring of the vertices of a graph is proper when adjacent vertices receive distinct colors, and the Glauber dynamics on proper colorings picks a uniform vertex and re-samples its color uniformly among the colors legal there; its stationary distribution is uniform on the proper colorings. Throughout, nnn is the number of vertices and Δ\DeltaΔ the maximum degree of the graph being colored.

Formalization targets

Goal

Theorem 14.8, the capstone of Chapter 14: for the Glauber dynamics on proper qqq-colorings, if q>2Δq>2\Deltaq>2Δ then

tmix(ε)  ≤  ⌈q−Δq−2Δ  n (log⁡n−log⁡ε)⌉.t_{\mathrm{mix}}(\varepsilon)\;\le\;\Bigl\lceil\frac{q-\Delta}{q-2\Delta}\;n\,\bigl(\log n-\log\varepsilon\bigr)\Bigr\rceil.tmix​(ε)≤⌈q−2Δq−Δ​n(logn−logε)⌉.

Milestones

  • Lemma 14.3 and Remark 14.2 — the transportation distance is attained by an optimal coupling, and satisfies the triangle inequality (so it is a genuine metric on distributions).
  • Theorem 14.6, path coupling (Bubley–Dyer) — if for every edge {x,y}\{x,y\}{x,y} of a connected graph structure there is a coupling of the one-step distributions P(x,⋅),P(y,⋅)P(x,\cdot),P(y,\cdot)P(x,⋅),P(y,⋅) contracting the path metric by e−αe^{-\alpha}e−α in expectation, then one step of the chain contracts the transportation metric of arbitrary distribution pairs by e−αe^{-\alpha}e−α.
  • Corollary 14.7 — under the same hypotheses, d(t)≤e−αt diam(V)d(t)\le e^{-\alpha t}\,\mathrm{diam}(V)d(t)≤e−αtdiam(V) and tmix(ε)≤⌈(log⁡diam(V)−log⁡ε)/α⌉t_{\mathrm{mix}}(\varepsilon)\le\lceil(\log\mathrm{diam}(V)-\log\varepsilon)/\alpha\rceiltmix​(ε)≤⌈(logdiam(V)−logε)/α⌉, where diam(V)\mathrm{diam}(V)diam(V) is the largest path-metric distance between two states.
  • Theorem 14.12, approximate counting — for q>2Δq>2\Deltaq>2Δ there is a randomized estimator, computed from an explicit polynomial number of independent uniform random seeds, which with probability at least 1−η1-\eta1−η estimates the number of proper qqq-colorings within a (1±ε)(1\pm\varepsilon)(1±ε) factor: rapid sampling yields rapid approximate counting.

Significance

The results. Path coupling converted the coupling method from an art into a calculus: one bounds a single-edge contraction constant, and the machinery does the rest. It is the standard tool for Glauber dynamics on colorings, independent sets, and other constraint-satisfaction models, and the q>2Δq>2\Deltaq>2Δ colorings bound is its flagship application. Theorem 14.12 is the discrete embodiment of the Jerrum–Valiant–Vazirani equivalence between approximate counting and sampling — the conceptual foundation of the entire MCMC approach to #P\#\mathrm P#P-hard counting problems.

Formalizing them. Mathlib has no transportation/Kantorovich metric in the finite setting, no path coupling, and nothing on approximate counting. The transportation-metric layer (optimal couplings, triangle inequality) is reusable far beyond this mission — it is the finite Wasserstein distance. The path-coupling theorem feeds directly into Mission IX (Ising) and is quoted throughout modern mixing literature.

Difficulty

The transportation metric asks for minimization over the (compact) polytope of couplings: attainment is a finite-dimensional compactness argument, and the triangle inequality requires gluing two optimal couplings along their common marginal — the classic construction that must be carried out with explicit finite sums here. Path coupling itself is an induction along geodesics of the path metric, with the subtlety that the composite coupling produced along a path need not be optimal, only admissible; the bookkeeping of the contraction constant through the induction is exactly the kind of argument Lean keeps honest. Theorem 14.8 instantiates the machinery: the single-edge coupling for colorings needs a careful case analysis of the proposed recolorings at the two endpoints (matching legal colors bijectively), and the contraction constant (q−2Δ)/(q−Δ)(q-2\Delta)/(q-\Delta)(q−2Δ)/(q−Δ) emerges from counting disagreeing proposals. Theorem 14.12 layers a probabilistic-amplification argument (medians of means over independent runs) on top of the mixing bound; its combinatorial core — expressing ∣Ω∣−1|\Omega|^{-1}∣Ω∣−1 as a telescoping product of marginal probabilities — is elementary but notation-heavy, and the formal statement quantifies over explicit seed spaces, so the whole estimator is a finite object.

Formalization scope

The transportation metric is an sInf over coupling costs (the coupling polytope is nonempty for genuine distributions, and attainment is part of the milestone, so the junk value never propagates); the path metric is an sInf over walk lengths in a connected graph. The Glauber dynamics on colorings is the restriction to proper colorings of the single-site heat-bath chain of Mission II, matching §3.3 of the book; its state space is the subtype of proper colorings, nonempty whenever q>2Δq>2\Deltaq>2Δ (a fact the hypotheses of the goal supply). Mixing-time upper bounds are stated with the book's explicit ceilings, so no rounding slack is hidden. In Theorem 14.12 the estimator is presented concretely as a function of finitely many uniform seeds, and "with probability ≥1−η\ge1-\eta≥1−η" is a counting inequality over the seed space — no measure theory enters. Contributions of intermediate lemmas (optimal-coupling gluing, geodesic decompositions, colorings edge-coupling) are welcome and will be reused by Mission IX.

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009. https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • R. Bubley, M. Dyer, Path coupling: a technique for proving rapid mixing in Markov chains, FOCS 1997. https://doi.org/10.1109/SFCS.1997.646111
  • M. Jerrum, A very simple algorithm for estimating the number of k-colorings of a low-degree graph, Random Structures Algorithms 7 (1995). https://doi.org/10.1002/rsa.3240070205
  • M. Jerrum, L. Valiant, V. Vazirani, Random generation of combinatorial structures from a uniform distribution, Theoret. Comput. Sci. 43 (1986). https://doi.org/10.1016/0304-3975(86)90174-X
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Markov Chains and Mixing Times VI: Networks, Hitting Times, and Cover TimesTextbook

Motivation

A reversible Markov chain is an electrical network: states are nodes, and the conductance c(x,y)=π(x)P(x,y)c(x,y)=\pi(x)P(x,y)c(x,y)=π(x)P(x,y) turns hitting probabilities into voltages and hitting times into resistances. This dictionary, going back to Kakutani and popularized by Doyle and Snell, converts probabilistic estimates into the physical laws of circuits — series/parallel reduction, energy minimization, monotonicity under edge removal. Chapters 9–11 of Levin–Peres–Wilmer, Markov Chains and Mixing Times (AMS, 2009) develop the dictionary and its two crown results: the commute time identity of Chandra–Raghavan–Ruzzo–Smolensky–Tiwari, Ea(τb)+Eb(τa)=cG R(a↔b)\mathbb E_a(\tau_b)+\mathbb E_b(\tau_a)=c_G\,R(a\leftrightarrow b)Ea​(τb​)+Eb​(τa​)=cG​R(a↔b), and the Matthews method bounding cover times by hitting times with harmonic-number precision.

Setting

A network is a symmetric nonnegative conductance function ccc on pairs of vertices; the associated walk moves with probabilities

P(x,y)=c(x,y)/c(x)P(x,y)=c(x,y)/c(x)P(x,y)=c(x,y)/c(x)

where c(x)=∑yc(x,y)c(x)=\sum_y c(x,y)c(x)=∑y​c(x,y), and cG=∑xc(x)c_G=\sum_x c(x)cG​=∑x​c(x). A function hhh is harmonic at xxx if h(x)=∑yP(x,y)h(y)h(x)=\sum_y P(x,y)h(y)h(x)=∑y​P(x,y)h(y). The voltage with boundary values 111 at aaa and 000 at zzz is W(x)=Px{τa<τz}W(x)=\mathbb P_x\{\tau_a<\tau_z\}W(x)=Px​{τa​<τz​}, the harmonic extension of its boundary data; the current flowing out of aaa has strength ∥I∥=∑yc(a,y) [W(a)−W(y)]\|I\|=\sum_y c(a,y)\,[W(a)-W(y)]∥I∥=∑y​c(a,y)[W(a)−W(y)], and the effective resistance is R(a↔z)=∥I∥−1R(a\leftrightarrow z)=\|I\|^{-1}R(a↔z)=∥I∥−1. A flow from aaa to zzz is an antisymmetric edge function obeying the node law off {a,z}\{a,z\}{a,z}; its energy is E(θ)=∑eθ(e)2/c(e)\mathcal E(\theta)=\sum_e\theta(e)^2/c(e)E(θ)=∑e​θ(e)2/c(e). Hitting times τS=min⁡{t≥0:Xt∈S}\tau_S=\min\{t\ge0:X_t\in S\}τS​=min{t≥0:Xt​∈S}, their expectations, the Green's function Gτz(a,x)G_{\tau_z}(a,x)Gτz​​(a,x), the maximal hitting time thitt_{\mathrm{hit}}thit​, and the cover time tcovt_{\mathrm{cov}}tcov​ (expected time to visit every state, maximized over starts) all use the trajectory calculus of Mission I.

Formalization targets

Goal

Ea(τb)+Eb(τa)  =  cG R(a↔b).\mathbb E_a(\tau_b)+\mathbb E_b(\tau_a)\;=\;c_G\,R(a\leftrightarrow b).Ea​(τb​)+Eb​(τa​)=cG​R(a↔b).

This is Proposition 10.6, the commute time identity — the exact bridge between the probabilistic and electrical sides, and the engine of the transience/recurrence theory of Mission XII.

Milestones

Reversibility and stationarity of the network walk with π(x)=c(x)/cG\pi(x)=c(x)/c_Gπ(x)=c(x)/cG​ (§9.1); Proposition 9.1 (existence and uniqueness of harmonic extensions with given boundary values, h(x)=Exf(XτB)h(x)=\mathbb E_x f(X_{\tau_B})h(x)=Ex​f(XτB​​)); Lemma 9.6 (the Green's function identity Gτz(a,a)=c(a)R(a↔z)G_{\tau_z}(a,a)=c(a)R(a\leftrightarrow z)Gτz​​(a,a)=c(a)R(a↔z)); Theorem 9.10 (Thomson's principle: R(a↔z)R(a\leftrightarrow z)R(a↔z) is the minimal energy of a unit flow, attained); Theorem 9.12 (Rayleigh monotonicity: lowering conductances raises effective resistance); Lemma 10.1 (the random target lemma: ∑yEa(τy)π(y)\sum_y\mathbb E_a(\tau_y)\pi(y)∑y​Ea​(τy​)π(y) does not depend on aaa); Corollary 10.8 (the resistance triangle inequality); Theorem 11.2 (Matthews: tcov≤thit (1+12+⋯+1n)t_{\mathrm{cov}}\le t_{\mathrm{hit}}\,(1+\tfrac12+\dots+\tfrac1n)tcov​≤thit​(1+21​+⋯+n1​)); Proposition 11.4 (the matching Matthews lower bound over subsets).

Significance

The results. The commute time identity computes hitting times from circuit reductions — this is how hitting times on trees, tori and glued graphs are actually evaluated — and, through Thomson and Rayleigh, makes them monotone under graph operations, something invisible probabilistically. The Matthews bounds pin cover times up to a log⁡n\log nlogn factor in complete generality; they are the tool behind cover-time results for lamplighter groups in Mission XI's sequel. Green's function identities feed Mission XII's recurrence theory, where R(a↔∞)R(a\leftrightarrow\infty)R(a↔∞) decides transience.

Formalizing them. Mathlib has graph Laplacians but no electrical network theory: no effective resistance, no flows, no energy, no Thomson/Rayleigh, no hitting or cover times. This mission publishes that layer over the trajectory calculus of Mission I. It is the most reusable single block of the series outside Missions I–II: effective resistance on finite networks is of independent interest to combinatorics (spanning trees, spectral sparsification) well beyond mixing times.

Difficulty

The identity chain behind the goal runs: Green's function of the stopped walk →\to→ escape probability Pa{τz<τa+}=(c(a)R(a↔z))−1\mathbb P_a\{\tau_z<\tau_a^+\}=\bigl(c(a)R(a\leftrightarrow z)\bigr)^{-1}Pa​{τz​<τa+​}=(c(a)R(a↔z))−1 (via harmonic uniqueness) →\to→ the Aldous–Fill occupation identity Gτ(a,x)=Ea(τ)π(x)G_\tau(a,x)=\mathbb E_a(\tau)\pi(x)Gτ​(a,x)=Ea​(τ)π(x) for stopping times with Xτ=aX_\tau=aXτ​=a — each step is a manipulation of infinite series of trajectory sums whose exchange steps (splitting a path at its first visit, last-exit decompositions) need summability from Mission I's Lemma 1.13. Thomson's principle is a finite-dimensional convex minimization: existence of the minimizer needs a compactness or completing-the-square argument, and the identification of the minimizer with the current flow needs the cycle law; the naive "differentiate the energy" route must be made exact. Matthews' method is a clean but genuinely clever argument — a uniformly random ordering of targets and the harmonic-number telescoping; the formal cost is the exchangeability of the randomized order against the chain, handled combinatorially.

Formalization scope

Networks are functions c:V×V→Rc:V\times V\to\mathbb Rc:V×V→R with a symmetry-and-nonnegativity predicate; loops are permitted; connectivity enters as irreducibility of the induced walk. The voltage is defined probabilistically as Px{τa<τz}\mathbb P_x\{\tau_a<\tau_z\}Px​{τa​<τz​} (the book's harmonic characterization is Proposition 9.1); R(a↔z)R(a\leftrightarrow z)R(a↔z) is the reciprocal of the explicit current strength, with total division junk when a,za,za,z are disconnected — statements carry irreducibility so this does not arise. Energy counts each undirected edge once, formalized as half the ordered double sum, and 02/0=00^2/0=002/0=0 handles absent edges. Cover times are tail sums of the explicit event "some state unvisited". The Matthews lower bound is stated with an arbitrary lower bound mmm for the pairwise hitting times of the subset AAA — equivalent to the book's min over pairs and easier to instantiate.

Welcome contributions: series/parallel reduction laws, the cycle and node law API for flows, escape-probability lemmas — all reused in Mission XII's infinite-network arguments.

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009. https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • P. G. Doyle, J. L. Snell, Random Walks and Electric Networks, MAA, 1984. https://arxiv.org/abs/math/0001057
  • A. K. Chandra, P. Raghavan, W. L. Ruzzo, R. Smolensky, P. Tiwari, The electrical resistance of a graph captures its commute and cover times, STOC 1989. https://doi.org/10.1145/73007.73062
  • P. Matthews, Covering problems for Markov chains, Ann. Probab. 16 (1988). https://doi.org/10.1214/aop/1176991894
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Markov Chains and Mixing Times I: Existence and Uniqueness of the Stationary DistributionTextbook

Markov Chains and Mixing Times I: Existence and Uniqueness of the Stationary Distribution

Motivation

Finite Markov chains are the basic model for memoryless random dynamics: card shuffles, random walks on graphs and groups, Monte Carlo samplers, and queueing systems are all chains on a finite state space. The single most used fact about them is that an irreducible chain has exactly one stationary distribution — a probability vector π\piπ with π=πP\pi = \pi Pπ=πP — and that this π\piπ is strictly positive and encodes the long-run behaviour of the chain through the return-time identity π(x)=1/Ex(τx+)\pi(x) = 1/\mathbb{E}_x(\tau_x^+)π(x)=1/Ex​(τx+​). Every later result in the theory of mixing times (convergence theorems, coupling bounds, spectral methods, cutoff) is a statement about the distance of the chain from this π\piπ, so nothing in the subject can be formalized before this mission is.

This mission is the first in a series formalizing D. A. Levin, Y. Peres and E. L. Wilmer, Markov Chains and Mixing Times (AMS, 2009), covering Chapters 1–2: the basic vocabulary of finite chains (stochastic matrices, irreducibility, period, reversibility, time reversal, random walks on graphs and groups) and the classical examples of Chapter 2 (gambler's ruin, coupon collecting, the reflection principle for simple random walk on Z\mathbb{Z}Z). Later missions in the series build on the definitions published here.

Setting

A chain on a finite state space Ω\OmegaΩ is presented by its transition matrix, a matrix P∈RΩ×ΩP \in \mathbb{R}^{\Omega\times\Omega}P∈RΩ×Ω with nonnegative entries whose rows sum to 111. A distribution is a row vector μ\muμ with nonnegative entries summing to 111; one step of the chain carries μ\muμ to μP\mu PμP, and the ttt-step transition probabilities are the entries of the matrix power PtP^tPt.

The chain is irreducible if for all states x,yx, yx,y there is a ttt with Pt(x,y)>0P^t(x,y) > 0Pt(x,y)>0. The period of a state xxx is gcd⁡ T(x)\gcd\,\mathcal{T}(x)gcdT(x) where T(x)={t≥1:Pt(x,x)>0}\mathcal{T}(x) = \{t \ge 1 : P^t(x,x) > 0\}T(x)={t≥1:Pt(x,x)>0}, and the chain is aperiodic if every state has period 111. A distribution π\piπ is stationary if πP=π\pi P = \piπP=π, and π\piπ and PPP are in detailed balance (the chain is reversible) if π(x)P(x,y)=π(y)P(y,x)\pi(x)P(x,y) = \pi(y)P(y,x)π(x)P(x,y)=π(y)P(y,x) for all x,yx,yx,y.

Trajectory events over a finite horizon are finite sums of path weights: a length-ttt trajectory is a function ω:{0,…,t}→Ω\omega : \{0,\dots,t\} \to \Omegaω:{0,…,t}→Ω, with weight ∏i<tP(ωi,ωi+1)\prod_{i<t} P(\omega_i, \omega_{i+1})∏i<t​P(ωi​,ωi+1​) conditional on its starting state. The tail probability Px{τz+>t}\mathbb{P}_x\{\tau_z^+ > t\}Px​{τz+​>t} of the first hitting time τz+=min⁡{t≥1:Xt=z}\tau_z^+ = \min\{t \ge 1 : X_t = z\}τz+​=min{t≥1:Xt​=z} is the sum of the weights of the trajectories from xxx that avoid zzz at times 1,…,t1,\dots,t1,…,t, and expectations of hitting times are recovered by the tail-sum formula E(Y)=∑t≥0P{Y>t}\mathbb{E}(Y) = \sum_{t\ge0} \mathbb{P}\{Y > t\}E(Y)=∑t≥0​P{Y>t}, formalized as a tsum over ttt.

Formalization targets

Goal

P stochastic and irreducible on a finite nonempty Ω  ⟹  ∃! π, π=πP.\text{$P$ stochastic and irreducible on a finite nonempty $\Omega$} \;\Longrightarrow\; \exists!\, \pi,\ \pi = \pi P .P stochastic and irreducible on a finite nonempty Ω⟹∃!π, π=πP.

This is Corollary 1.17 of the book. It asserts only existence and uniqueness, leaving the finer structure of π\piπ to the milestones; it is the weakest statement on which the rest of the series can stand, which is why it is the goal.

Milestones toward and around the goal

The milestone list follows the book's own route: well-definedness of the period (Lemma 1.6), positivity of some matrix power for irreducible aperiodic chains (Proposition 1.7), finiteness of expected hitting times (Lemma 1.13), existence of a positive stationary distribution together with

π(x) Ex(τx+)=1\pi(x)\,\mathbb{E}_x(\tau_x^+) = 1π(x)Ex​(τx+​)=1

(Proposition 1.14), constancy of harmonic functions (Lemma 1.16), stationarity from detailed balance (Proposition 1.19), the stationary and reversible measure π(x)=deg⁡(x)/2∣E∣\pi(x) = \deg(x)/2|E|π(x)=deg(x)/2∣E∣ of simple random walk on a graph (Examples 1.12 and 1.20), the time reversal P^\hat PP^ and its path-reversal identity (Proposition 1.22), and the random walks on finite groups of Section 2.6 (Propositions 2.12–2.14). From Chapter 2 the list adds the gambler's ruin formulas Pk{Xτ=n}=k/n\mathbb{P}_k\{X_\tau = n\} = k/nPk​{Xτ​=n}=k/n and Ek(τ)=k(n−k)\mathbb{E}_k(\tau) = k(n-k)Ek​(τ)=k(n−k) (Proposition 2.1), the coupon collector expectation n∑k≤n1/kn\sum_{k\le n} 1/kn∑k≤n​1/k and tail bound e−ce^{-c}e−c (Propositions 2.3 and 2.4), and the reflection principle and the bound Pk{τ0>r}≤12k/r\mathbb{P}_k\{\tau_0 > r\} \le 12k/\sqrt{r}Pk​{τ0​>r}≤12k/r​ for simple random walk on Z\mathbb{Z}Z (Lemma 2.18 and Theorem 2.17).

Significance

The result itself. Existence and uniqueness of π\piπ is the pivot on which the entire quantitative theory turns: it defines the target of convergence, and the identity π(x) Ex(τx+)=1\pi(x)\,\mathbb{E}_x(\tau_x^+) = 1π(x)Ex​(τx+​)=1 ties the stationary measure to return times, which later missions use for hitting-time and cover-time results. Detailed balance is the practical tool by which stationary measures of graph and group walks are computed, and the Chapter 2 examples (gambler's ruin, coupon collecting, reflection) are the standard building blocks reused throughout the book — the coupon collector bound, for instance, is exactly the estimate behind the nlog⁡n+cnn \log n + cnnlogn+cn analysis of the top-to-random shuffle in a later mission of this series.

Formalizing it. Mathlib currently has no theory of finite Markov chains: no stochastic-matrix predicate, no stationary distribution, no periodicity, no hitting times. Everything proved in this mission is new formal mathematics, and the definition layer published here (mm_basic, mm_path, mm_classical) is the shared foundation that all twelve subsequent missions of the series import. All results are classical and have textbook proofs; none has a machine-checked proof.

Difficulty

The delicate point is the existence proof. The natural first idea — extract π\piπ from an eigenvector of PTP^{\mathsf T}PT for eigenvalue 111, or invoke a fixed-point theorem — either does not give positivity and nonnegativity without further work, or uses compactness machinery (Brouwer) that is unavailable. The book's proof instead builds π~(y)=Ez(visits to y before τz+)\tilde\pi(y) = \mathbb{E}_z(\text{visits to } y \text{ before } \tau_z^+)π~(y)=Ez​(visits to y before τz+​) and verifies π~P=π~\tilde\pi P = \tilde\piπ~P=π~ by reindexing trajectory sums; formalizing it requires managing infinite series of path sums (summability from the geometric tail bound of Lemma 1.13, exchanging tsum with finite sums, splitting a trajectory at its last step). The uniqueness half is linear algebra via constancy of harmonic functions (Lemma 1.16), which is elementary but requires a maximum-principle argument over a finite state space. The reflection principle and Theorem 2.17 are finite combinatorics on ±1\pm 1±1 paths — the bijection is easy to describe and fiddly to implement.

Formalization scope

States form a Fintype with decidable equality; chains are Matrix V V ℝ with the row-stochasticity predicate IsStochastic; distributions are functions V → ℝ with the predicate IsDist. Everything is distribution-side: no probability space or measure theory is used. The period is formalized as sup⁡{d:d∣t for all t∈T(x)}\sup\{d : d \mid t \text{ for all } t \in \mathcal{T}(x)\}sup{d:d∣t for all t∈T(x)}, which equals gcd⁡T(x)\gcd \mathcal{T}(x)gcdT(x) when T(x)≠∅\mathcal{T}(x) \neq \varnothingT(x)=∅ and takes the junk value 000 otherwise. Expectations of hitting times are tsums of tail probabilities, with the usual junk value 000 for non-summable families — the statements are arranged (e.g. multiplicatively, π(x)⋅Ex(τx+)=1\pi(x)\cdot\mathbb{E}_x(\tau_x^+) = 1π(x)⋅Ex​(τx+​)=1) so that junk values cannot make them vacuously true. Existence statements carry a Nonempty V hypothesis; irreducibility on the empty space is vacuous, and without nonemptiness the goal would be false, not trivial. The coupon collector and the walk on Z\mathbb{Z}Z are presented directly by their driving randomness (uniform draws Fin t → Fin n, uniform sign strings Fin r → Bool), so those probabilities are elementary counting; in particular the reflection principle is stated as an equality of cardinalities of sets of sign strings — this is equivalent to the probabilistic statement because all 2r2^r2r strings are equally likely.

Contributions welcome beyond the milestone list: simp lemmas for the definition layer, the taboo-matrix representation of avoidance probabilities (useful for Lemma 1.13), and any interface lemmas connecting pathWeight sums to matrix powers — these will be reused by every later mission in the series.

Selected references

  • D. A. Levin, Y. Peres, E. L. Wilmer, Markov Chains and Mixing Times, American Mathematical Society, 2009. https://documents.epfl.ch/groups/i/ip/ipg/www/2013-2014/Random_Walks/markovmixing.pdf
  • J. R. Norris, Markov Chains, Cambridge University Press, 1998. https://doi.org/10.1017/CBO9780511810633
  • D. Aldous, J. A. Fill, Reversible Markov Chains and Random Walks on Graphs, 2002 (unfinished monograph). https://www.stat.berkeley.edu/~aldous/RWG/book.html
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Reversibility and Stochastic Networks V: Optimal Capacity Allocation in a Network of QueuesTextbook

Motivation

Chapter 4 of F. P. Kelly's Reversibility and Stochastic Networks (Wiley, 1979) applies the product-form theory of Chapter 3 to concrete systems. Two of its results have numbered statements, and they answer two practical questions.

The first comes from the design of store-and-forward communication networks (telegraph and packet-switched data networks). Messages queue at channels; the designer chooses each channel's capacity subject to a budget, and wants to minimize the delay messages suffer. Because the equilibrium law at every channel is geometric under several different modelling assumptions (§4.1, pp. 95–96), the mean delay has a closed form, and the budget allocation problem becomes a small convex program with an explicit solution. This square-root capacity assignment goes back to L. Kleinrock's work on communication nets (Communication Nets, McGraw-Hill, 1964) and remains the textbook example of optimal design for a network of queues.

The second comes from compartmental models in biology, birth–illness–death processes and manpower planning (§4.5, pp. 113–115). Individuals enter a system as a Poisson stream and move through it independently. Equilibrium results follow from Chapter 3; Theorem 4.2 describes the transient behaviour exactly, starting from an empty system.

Setting

Capacity allocation (§4.1). A network has J≥1J \ge 1J≥1 channels. Channel jjj receives traffic at average rate aj>0a_j > 0aj​>0 and is given capacity ϕj\phi_jϕj​. In equilibrium the number njn_jnj​ of messages at channel jjj has the geometric law (4.1),

P(nj=n)=(1−ajϕj)(ajϕj)n,n=0,1,2,…,P(n_j = n) = \Big(1 - \frac{a_j}{\phi_j}\Big)\Big(\frac{a_j}{\phi_j}\Big)^n, \qquad n = 0, 1, 2, \dots,P(nj​=n)=(1−ϕj​aj​​)(ϕj​aj​​)n,n=0,1,2,…,

which requires ϕj>aj\phi_j > a_jϕj​>aj​. Its mean is aj/(ϕj−aj)a_j/(\phi_j - a_j)aj​/(ϕj​−aj​). Capacity on channel jjj costs fj>0f_j > 0fj​>0 per unit and the total budget is FFF, giving the cost constraint (4.2)

∑jfjϕj=F.\sum_j f_j\phi_j = F.j∑​fj​ϕj​=F.

The mean number of customers in the network is

N(ϕ)=∑jajϕj−aj,N(\phi) = \sum_j \frac{a_j}{\phi_j - a_j},N(ϕ)=j∑​ϕj​−aj​aj​​,

and the feasible set is the set of ϕ∈RJ\phi \in \mathbb{R}^Jϕ∈RJ with ϕj>aj\phi_j > a_jϕj​>aj​ for every jjj that satisfy (4.2). In Lean these are meanNumberInNetwork a φ and FeasibleCapacities a f F. The proof works with the Lagrangian lagrangian a f F y φ =N(ϕ)+y(∑jfjϕj−F)= N(\phi) + y(\sum_j f_j\phi_j - F)=N(ϕ)+y(∑j​fj​ϕj​−F).

Compartmental model (§4.5). Individuals arrive in a Poisson stream of rate ν>0\nu > 0ν>0 at a system of JJJ compartments that is empty at time 000. Let pj(s)p_j(s)pj​(s) be the probability that an individual is in compartment jjj a time sss after its arrival; pj(s)≥0p_j(s) \ge 0pj​(s)≥0 and ∑jpj(s)≤1\sum_j p_j(s) \le 1∑j​pj​(s)≤1, since individuals may leave. Let nj(t)n_j(t)nj​(t) be the number of individuals in compartment jjj at time t>0t > 0t>0, and

αj(t)=∫0tpj(u) du.\alpha_j(t) = \int_0^t p_j(u)\,du.αj​(t)=∫0t​pj​(u)du.

In Lean the model is the predicate IsCompartmentModel P ν t p M T Loc, the counts are compartmentCount M Loc j, and αj(t)\alpha_j(t)αj​(t) is alpha p j t.

Formalization targets

Goal: Theorem 4.1 (p. 97)

If J≥1J \ge 1J≥1, aj>0a_j > 0aj​>0, fj>0f_j > 0fj​>0 and F>∑kakfkF > \sum_k a_k f_kF>∑k​ak​fk​, then

ϕj∗=aj+ajfj∑kakfk⋅F−∑kakfkfj\phi^*_j = a_j + \frac{\sqrt{a_j f_j}}{\sum_k \sqrt{a_k f_k}}\cdot\frac{F - \sum_k a_k f_k}{f_j}ϕj∗​=aj​+∑k​ak​fk​​aj​fj​​​⋅fj​F−∑k​ak​fk​​

is feasible and minimizes NNN over the feasible set, and every other feasible ϕ\phiϕ has N(ϕ)>N(ϕ∗)N(\phi) > N(\phi^*)N(ϕ)>N(ϕ∗).

Milestones toward the goal

  1. The mean of the geometric law (4.1) is aj/(ϕj−aj)a_j/(\phi_j - a_j)aj​/(ϕj​−aj​) (p. 97).
  2. For y>0y > 0y>0 the Lagrangian is minimized over {ϕj>aj}\{\phi_j > a_j\}{ϕj​>aj​} by ϕj=aj+aj/(yfj)\phi_j = a_j + \sqrt{a_j/(y f_j)}ϕj​=aj​+aj​/(yfj​)​ (proof of Theorem 4.1).
  3. The choice 1/y=(F−∑kakfk)/∑kakfk1/\sqrt y = (F - \sum_k a_k f_k)/\sum_k\sqrt{a_k f_k}1/y​=(F−∑k​ak​fk​)/∑k​ak​fk​​ makes that minimizer equal to ϕ∗\phi^*ϕ∗ and feasible for (4.2).

Second result: Theorem 4.2 (pp. 114–115)

The proof's generating-function identity, for zj∈[0,1]z_j \in [0,1]zj​∈[0,1],

E(z1n1(t)⋯zJnJ(t))=∏j=1Jexp⁡[−(1−zj)ναj(t)],E\big(z_1^{n_1(t)}\cdots z_J^{n_J(t)}\big) = \prod_{j=1}^J \exp\big[-(1 - z_j)\nu\alpha_j(t)\big],E(z1n1​(t)​⋯zJnJ​(t)​)=j=1∏J​exp[−(1−zj​)ναj​(t)],

and the theorem itself: n1(t),…,nJ(t)n_1(t), \dots, n_J(t)n1​(t),…,nJ​(t) are independent and nj(t)n_j(t)nj​(t) is Poisson with mean ναj(t)\nu\alpha_j(t)ναj​(t).

Significance

Theorem 4.1 is a closed-form design rule. Every channel first receives the capacity aja_jaj​ needed to carry its traffic; the remaining budget is shared in proportion to ajfj\sqrt{a_j f_j}aj​fj​​, not to the traffic aja_jaj​. Sizing capacity in proportion to the load, which is the obvious rule, is therefore not optimal. The same calculation applies to any network whose stations have the geometric law (4.1), for example a manufacturing job shop (p. 97). The mean number in the network and the mean time a customer spends in it are minimized together.

Theorem 4.2 is the exact transient law of a network of infinite-server queues started empty. It holds however complicated the motion of an individual is, provided individuals move independently, and letting t→∞t \to \inftyt→∞ it recovers the equilibrium Poisson law of §4.5.

Both results are classical and proved in the book. Neither is formalized on Prove2Me. The platform has the geometric equilibrium law of the M/M/1 queue (KellyStochasticNetworks.mm1_equilibrium) but not its mean, and no result on Poisson thinning or marking by independent random locations. The formal work for Theorem 4.1 is a strict-convexity and Lagrangian-sufficiency argument in RJ\mathbb{R}^JRJ. For Theorem 4.2 it is a Poisson marking theorem in measure-theoretic probability. Both pieces are reusable.

Difficulty

For Theorem 4.1, the book's proof sets the partial derivatives of the Lagrangian to zero. A stationary point is not a global minimizer in general, so the formal proof must show that LLL is (strictly) convex on the open region ϕj>aj\phi_j > a_jϕj​>aj​, and it must use Lagrangian sufficiency, not first-order conditions alone. The region is open and the objective is unbounded near its boundary. Feasibility of ϕ∗\phi^*ϕ∗ needs F>∑kakfkF > \sum_k a_k f_kF>∑k​ak​fk​, which the book leaves implicit.

For Theorem 4.2, the steps of the proof that read "conditional on MMM" have to be carried out with measure-theoretic independence. One step averages a product over MMM independent uniform instants. Another sums the Poisson mixture into an exponential. The last turns a factorized generating function into mutual independence of JJJ counts with Poisson marginals. Mathlib has the Poisson distribution (ProbabilityTheory.poissonMeasure) but no marking or thinning theorem, and no uniqueness theorem for multivariate probability generating functions.

Formalization scope

Channels and compartments are indexed by Fin J; all rates, costs and capacities are real numbers.

Theorem 4.1. The statement carries the book's implicit hypotheses explicitly: J≥1J \ge 1J≥1, aj>0a_j > 0aj​>0, fj>0f_j > 0fj​>0, F>∑kakfkF > \sum_k a_k f_kF>∑k​ak​fk​. Stability ϕj>aj\phi_j > a_jϕj​>aj​ is part of the feasible set. The conclusion is global optimality over the feasible set (IsMinOn) together with feasibility of ϕ∗\phi^*ϕ∗, plus strict optimality against every other feasible point. Uniqueness is a slight strengthening of the book's "the optimal allocation is", and it holds by strict convexity. A statement that ϕ∗\phi^*ϕ∗ satisfies (4.2), or that it is a stationary point of the Lagrangian, is not the theorem: those are one-line computations or the proof method, and the goal is stated as global optimality to rule them out.

Theorem 4.2. The model is pinned down as in the proof on p. 115:

  • the number MMM of arrivals in (0,t)(0,t)(0,t) is Poisson with mean νt\nu tνt;
  • an i.i.d. sequence of (arrival instant, location at time ttt) pairs is independent of MMM, and only its first MMM entries are used;
  • each instant is uniform on (0,t)(0,t)(0,t), and an individual arriving at uuu is in compartment jjj at time ttt with probability pj(t−u)p_j(t-u)pj​(t−u), or has left.

"Individuals move independently" is formalized as this conditional independence. The pjp_jpj​ are measurable sub-probabilities, not assumed to sum to one. The conclusion is mutual independence of the JJJ counts (iIndepFun) together with the Poisson probability mass function of each. Infinite time horizons and the point-process description of the system are out of scope.

Useful contributions: a reusable Lagrangian-sufficiency lemma for separable convex objectives under one linear constraint; a Poisson marking (colouring) theorem for finitely many colours; the multivariate generating-function uniqueness lemma for NJ\mathbb{N}^JNJ-valued random vectors.

Selected references

  • F. P. Kelly, Reversibility and Stochastic Networks, John Wiley & Sons, 1979, Chapter 4 (§4.1, pp. 95–97; §4.5, pp. 113–115).
  • L. Kleinrock, Communication Nets: Stochastic Message Flow and Delay, McGraw-Hill, 1964 (reprinted Dover, 1972).
  • J. F. C. Kingman, Poisson Processes, Oxford University Press, 1993 (colouring and marking theorems).
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Stochastic Dynamic Programming and the Control of Queueing Systems IV: Average Cost Optimal Stationary Policies Exist for Finite State SpacesTextbook

Why average cost on finite state spaces

Controlled queues, inventories and communication links are run for a long time, and the quantity an operator usually cares about is the long-run average cost per period rather than a discounted total. The average cost criterion is harder to work with than the discounted one: its value is a lim sup⁡\limsuplimsup of Cesàro means, it is not given by a contraction, and for general (history dependent, randomized) policies the limit need not exist. Chapter 6 of L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems (Wiley, 1999) treats the case of a finite state space, where the strongest results hold: an average cost optimal policy exists, can be taken stationary, and can be obtained as a limit of discount optimal policies as the discount factor tends to one.

The results go back to D. Blackwell, "Discrete dynamic programming", Ann. Math. Statist. 33 (1962), who showed that for finite states and actions some stationary policy is discount optimal for all discount factors close to one. Such a policy is now called Blackwell optimal. Sennott's Chapter 6 derives average cost optimality of this policy and the multichain average cost optimality equation from it, in the notation used throughout the book.

Setting

A Markov decision chain (MDC) Δ\DeltaΔ has a countable state space SSS, a finite nonempty action set AiA_iAi​ in each state iii, nonnegative finite costs C(i,a)C(i,a)C(i,a), and transition probabilities Pij(a)P_{ij}(a)Pij​(a) with ∑jPij(a)=1\sum_j P_{ij}(a) = 1∑j​Pij​(a)=1. A policy θ\thetaθ chooses the action at time ttt from a distribution θ(⋅∣ht)\theta(\cdot \mid h_t)θ(⋅∣ht​) on AitA_{i_t}Ait​​ that may depend on the whole history ht=(i0,a0,…,it)h_t = (i_0,a_0,\ldots,i_t)ht​=(i0​,a0​,…,it​). A stationary policy fff always chooses a fixed action f(i)∈Aif(i) \in A_if(i)∈Ai​ in state iii.

With Xt,AtX_t, A_tXt​,At​ the state and action at time ttt and X0=iX_0 = iX0​=i, define

  • the discounted cost Vθ,α(i)=∑t≥0αtEθ[C(Xt,At)]V_{\theta,\alpha}(i) = \sum_{t \ge 0} \alpha^t E_\theta[C(X_t,A_t)]Vθ,α​(i)=∑t≥0​αtEθ​[C(Xt​,At​)] for 0<α<10<\alpha<10<α<1, and the discounted value function Vα(i)=inf⁡θVθ,α(i)V_\alpha(i) = \inf_\theta V_{\theta,\alpha}(i)Vα​(i)=infθ​Vθ,α​(i);
  • the nnn horizon cost vθ,n(i)=∑t=0n−1Eθ[C(Xt,At)]v_{\theta,n}(i) = \sum_{t=0}^{n-1} E_\theta[C(X_t,A_t)]vθ,n​(i)=∑t=0n−1​Eθ​[C(Xt​,At​)];
  • the average cost Jθ(i)=lim sup⁡nvθ,n(i)/nJ_\theta(i) = \limsup_n v_{\theta,n}(i)/nJθ​(i)=limsupn​vθ,n​(i)/n, its lim inf⁡\liminfliminf version Jθ∗(i)J^*_\theta(i)Jθ∗​(i), and the minimum average cost J(i)=inf⁡θJθ(i)J(i) = \inf_\theta J_\theta(i)J(i)=infθ​Jθ​(i).

All infima range over all general policies, and every quantity may equal +∞+\infty+∞. A policy is α\alphaα discount optimal if Vθ,α=VαV_{\theta,\alpha} = V_\alphaVθ,α​=Vα​, and average cost optimal if Jθ=JJ_\theta = JJθ​=J.

For a stationary policy fff on a finite state space, the induced Markov chain splits into positive recurrent classes R1,…,RKR_1,\ldots,R_KR1​,…,RK​ and transient states. With pk(i)p_k(i)pk​(i) the probability of reaching RkR_kRk​ from iii, distinguished states zk∈Rkz_k \in R_kzk​∈Rk​, and Wα(i)=∑kpk(i)Vα(zk)W_\alpha(i) = \sum_k p_k(i) V_\alpha(z_k)Wα​(i)=∑k​pk​(i)Vα​(zk​), the relative value function is wα(i)=Vα(i)−Wα(i)w_\alpha(i) = V_\alpha(i) - W_\alpha(i)wα​(i)=Vα​(i)−Wα​(i).

Formalization targets

Goal: Proposition 6.2.3

For an MDC with a finite state space there are α0∈(0,1)\alpha_0 \in (0,1)α0​∈(0,1) and one stationary policy fff such that fff is α\alphaα discount optimal for every α∈(α0,1)\alpha \in (\alpha_0,1)α∈(α0​,1), fff is average cost optimal, and

J(i)=lim⁡α→1−(1−α)Vα(i)=lim⁡n→∞vf,n(i)n,i∈S.J(i) = \lim_{\alpha\to 1^-} (1-\alpha) V_\alpha(i) = \lim_{n\to\infty} \frac{v_{f,n}(i)}{n}, \qquad i \in S.J(i)=α→1−lim​(1−α)Vα​(i)=n→∞lim​nvf,n​(i)​,i∈S.

Milestones

  1. Proposition 4.5.3. For finite SSS and stationary eee, α↦Ve,α(i)\alpha \mapsto V_{e,\alpha}(i)α↦Ve,α​(i) is a finite, continuous, rational function on (0,1)(0,1)(0,1).
  2. Proposition 6.1.1. For every policy on a countable state space,
Jθ∗(i)≤lim inf⁡α→1−(1−α)Vθ,α(i)≤lim sup⁡α→1−(1−α)Vθ,α(i)≤Jθ(i),J^*_\theta(i) \le \liminf_{\alpha\to1^-}(1-\alpha)V_{\theta,\alpha}(i) \le \limsup_{\alpha\to1^-}(1-\alpha)V_{\theta,\alpha}(i) \le J_\theta(i),Jθ∗​(i)≤α→1−liminf​(1−α)Vθ,α​(i)≤α→1−limsup​(1−α)Vθ,α​(i)≤Jθ​(i),

with three equivalent conditions for equality. 3. Proposition 6.2.2. For finite SSS and stationary eee, Je(i)=lim⁡α→1−(1−α)Ve,α(i)=lim⁡nve,n(i)/nJ_e(i) = \lim_{\alpha\to1^-}(1-\alpha)V_{e,\alpha}(i) = \lim_n v_{e,n}(i)/nJe​(i)=limα→1−​(1−α)Ve,α​(i)=limn​ve,n​(i)/n. 4. Proposition 4.5.1, Proposition 4.5.4, Corollary 4.5.5. The power series structure of Vθ,αV_{\theta,\alpha}Vθ,α​ in α\alphaα; monotonicity and left continuity of VαV_\alphaVα​; continuity under bounded costs. 5. Theorem 6.3.1. For the policy fff of the goal, lim⁡α→1−wα(i)=w(i)\lim_{\alpha \to 1^-} w_\alpha(i) = w(i)limα→1−​wα​(i)=w(i) exists, and

J(i)+w(i)=C(i,f)+∑jPij(f)w(j) ≥ min⁡a{C(i,a)+∑jPij(a)w(j)},J(i) + w(i) = C(i,f) + \sum_j P_{ij}(f) w(j) \ \ge\ \min_{a} \Big\{C(i,a) + \sum_j P_{ij}(a) w(j)\Big\},J(i)+w(i)=C(i,f)+j∑​Pij​(f)w(j) ≥ amin​{C(i,a)+j∑​Pij​(a)w(j)},

together with the limit identities (i)–(iii) and the optimality criterion (v). 6. Proposition 6.3.3. Vα(i)=J(i)/(1−α)+w∗(i)+εα(i)V_\alpha(i) = J(i)/(1-\alpha) + w^*(i) + \varepsilon_\alpha(i)Vα​(i)=J(i)/(1−α)+w∗(i)+εα​(i) with εα(i)→0\varepsilon_\alpha(i) \to 0εα​(i)→0 as α→1−\alpha \to 1^-α→1−.

Significance

The goal says that on a finite state space nothing is gained by randomizing or by remembering the past when minimizing average cost, and that the minimum average cost is the vanishing-discount limit of the discounted value function. This justifies computing average cost optimal policies through discounted problems and value iteration, the route taken in the rest of Chapter 6 and, via approximating sequences, for countable state spaces in Chapters 7 and 8. Theorem 6.3.1 supplies an optimality equation without any unichain or communication assumption. The book's Example 6.3.2 shows that the inequality in that equation can be strict, and that a stationary policy attaining the minimum need not be optimal.

The results are classical and proved in the book. No machine-checked version of them is known to exist. The platform has average-reward results for unichain finite MDPs with Markov policies (the Puterman series) and an average-cost optimality equation under recurrence assumptions (the Bertsekas series). Neither covers existence of a Blackwell optimal policy against the class of all history dependent randomized policies, or the multichain equation. A formal development also yields reusable infrastructure: the law of a controlled process under a general policy, first passage quantities of finite chains, and the Abelian inequality between Abel and Cesàro means of a nonnegative sequence.

Difficulty

The obvious argument picks, for each α\alphaα, a stationary discount optimal policy fαf_\alphafα​ and lets α→1\alpha \to 1α→1. Finiteness of the set of stationary policies gives one policy that is optimal along some sequence αn→1\alpha_n \to 1αn​→1, but not on an interval. Excluding infinite switching between two policies requires the analytic structure of α↦Vf,α(i)\alpha \mapsto V_{f,\alpha}(i)α↦Vf,α​(i) (Proposition 4.5.3), which in turn rests on matrix inversion of I−αPI - \alpha PI−αP. Passing from the discounted criterion to the average one requires an Abelian inequality for nonnegative series whose terms may be infinite (Proposition 6.1.1), and comparison against general policies rules out any argument that works only within stationary or Markov policies. For Theorem 6.3.1 the difficulty is the multichain structure: the relative value function has to be assembled class by class from first passage times and costs, and its limit must be identified.

Formalization scope

  • States form a type S; [Countable S] for Section 4.5 and Proposition 6.1.1, [Fintype S] from Section 6.2 on, as in the book. Actions form a type Act with A i : Finset Act nonempty. Costs are in ℝ≥0, transition probabilities in ℝ≥0∞.
  • A general policy is a function of the list of past state-action pairs (most recent first) and the current state, giving a distribution on A i. Stationary policies embed as degenerate policies. The law of the process is built from this data, and every infimum ranges over all general policies.
  • Vθ,αV_{\theta,\alpha}Vθ,α​, VαV_\alphaVα​, vθ,nv_{\theta,n}vθ,n​, JθJ_\thetaJθ​, Jθ∗J^*_\thetaJθ∗​, JJJ are in ℝ≥0∞, so +∞+\infty+∞ is represented. α→1−\alpha \to 1^-α→1− is the filter 𝓝[<] 1. On a finite state space these quantities are finite. The real valued objects of Section 6.3 (wαw_\alphawα​, www, w∗w^*w∗, equation (6.6)) are therefore formed with toReal, and this switch from ℝ≥0∞ to ℝ happens only in Theorem 6.3.1 and Proposition 6.3.3.
  • The objects of Section 6.3 (pkp_kpk​, mi∣km_{i|k}mi∣k​, ci∣kc_{i|k}ci∣k​, πs\pi_sπs​, WαW_\alphaWα​) are defined from fff. The distinguished states are a hypothesis quantified over.
  • A trivializing formalization would take the infimum over stationary policies only, let the optimal policy depend on α\alphaα, or state rationality as an equation p/q without requiring q≠0q \ne 0q=0. Each is excluded here: JJJ and VαV_\alphaVα​ are infima over all general policies, one pair (α0,f)(\alpha_0,f)(α0​,f) is quantified before all α\alphaα, and the denominator is required to be nonzero on (0,1)(0,1)(0,1).

Useful infrastructure includes rational functions of one real variable and their finitely many sign changes, the resolvent (I−αP)−1(I-\alpha P)^{-1}(I−αP)−1 of a stochastic matrix, the Abelian inequality for [0,∞][0,\infty][0,∞]-valued sequences, and renewal-reward identities for finite chains. Contributions of general lemmas on these topics are welcome, as are proofs of individual milestones.

Selected references

  • L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems, Wiley, 1999. https://doi.org/10.1002/9780470317037
  • D. Blackwell, "Discrete dynamic programming", Annals of Mathematical Statistics 33 (1962), 719–726. https://doi.org/10.1214/aoms/1177704593
  • M. L. Puterman, Markov Decision Processes: Discrete Stochastic Dynamic Programming, Wiley, 1994. https://doi.org/10.1002/9780470316887
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Markov-Renewal Programming. I: Formulation, Finite Return Models: Policy Iteration Finds an Optimal Stationary Policy for the Discounted Infinite-Horizon Markov-Renewal ProgramResearch Paper

Motivation

Many operational systems move between a finite number of states at random times: a machine alternates between working and repair, a queue between occupancy levels, an inventory between stock positions. When the time spent in a state is not exponential and not a fixed period, neither discrete-time Markov decision processes nor continuous-time Markov chains describe the system faithfully. William S. Jewell's 1963 paper Markov-Renewal Programming. I extends Howard's Markov decision processes to Markov-renewal processes (also called semi-Markov processes), in which the time between transitions is a random variable whose law depends on the current state, the next state, and the decision taken. The resulting model, now called a semi-Markov decision process, is standard in maintenance, queueing control and reliability.

Timeline:

  • 1954: Lévy, Smith and Takács independently introduce Markov-renewal and semi-Markov processes; Pyke later surveys them.
  • 1960: Howard, Dynamic Programming and Markov Processes, introduces policy iteration for finite discrete-time Markov decision processes.
  • 1962: Blackwell, Discrete Dynamic Programming, shows that for the discounted discrete-time problem a stationary policy is optimal among all policies.
  • 1963: Jewell formulates Markov-renewal programming, with a continuous discount factor α, and carries Howard's algorithm and Blackwell's stationarity result over to it. Part II of the paper treats the undiscounted (infinite-return) models.

Setting

A Markov-renewal program has a finite set of states SSS (the paper's i=1,…,Ni = 1, \dots, Ni=1,…,N) and a finite, nonempty set of alternatives (the paper's z=1,…,Zz = 1, \dots, Zz=1,…,Z), each available in every state. For each alternative zzz and states i,ji, ji,j it specifies:

  • a transition probability pijz≥0p^z_{ij} \ge 0pijz​≥0, with ∑jpijz=1\sum_j p^z_{ij} = 1∑j​pijz​=1;
  • a sojourn-time distribution FijzF^z_{ij}Fijz​, the law of the time τ\tauτ between entering iii and moving to jjj, with τ≥0\tau \ge 0τ≥0 and Fijz(0)=0F^z_{ij}(0) = 0Fijz​(0)=0;
  • for each continuous discount factor α>0\alpha > 0α>0, a real number ρijz(α)\rho^z_{ij}(\alpha)ρijz​(α), the expected discounted return earned during that transition.

The Laplace–Stieltjes transform f~ijz(s)=∫0∞e−st dFijz(t)\tilde f^z_{ij}(s) = \int_0^\infty e^{-st}\,dF^z_{ij}(t)f~​ijz​(s)=∫0∞​e−stdFijz​(t) is the expected discount E[e−sτ]\mathbb E[e^{-s\tau}]E[e−sτ] over one interval. The average one-step return is ρiz(α)=∑jpijzρijz(α)\rho^z_i(\alpha) = \sum_j p^z_{ij}\rho^z_{ij}(\alpha)ρiz​(α)=∑j​pijz​ρijz​(α), and for a vector of returns vvv the test quantity is

ρiz(α)+∑jpijz f~ijz(α) vj.\rho^z_i(\alpha) + \sum_j p^z_{ij}\,\tilde f^z_{ij}(\alpha)\,v_j .ρiz​(α)+j∑​pijz​f~​ijz​(α)vj​.

A stationary policy is a map d:S→Ad : S \to Ad:S→A; a nonstationary policy is a sequence π=(π0,π1,… )\pi = (\pi_0, \pi_1, \dots)π=(π0​,π1​,…) of such maps, πk\pi_kπk​ being used at the kkk-th transition. The nnn-step return Viπ(n)V^\pi_i(n)Viπ​(n) of a policy, with boundary rewards Vi(0,α)V_i(0,\alpha)Vi​(0,α), is the test quantity of π0(i)\pi_0(i)π0​(i) applied to the (n−1)(n-1)(n−1)-step return of the shifted policy; the optimal nnn-step return Vi(n,α)V_i(n,\alpha)Vi​(n,α) of equation (6) replaces π0(i)\pi_0(i)π0​(i) by a maximum over zzz. The value-determination equations (15) of a stationary policy ddd are vi=ρid(i)(α)+∑jpijd(i)f~ijd(i)(α)vjv_i = \rho^{d(i)}_i(\alpha) + \sum_j p^{d(i)}_{ij}\tilde f^{d(i)}_{ij}(\alpha) v_jvi​=ρid(i)​(α)+∑j​pijd(i)​f~​ijd(i)​(α)vj​.

The algorithm of Fig. 1 alternates two steps: solve (15) for the current policy, then in every state pick an alternative maximizing the test quantity, keeping the old alternative if it still attains the maximum. It stops when two successive policies are identical.

Formalization targets

Goal (p. 947)

For every α>0\alpha > 0α>0: (15) has a unique solution for every stationary policy, and every run (dk,vk)(d_k, v_k)(dk​,vk​) of Fig. 1 reaches dK+1=dKd_{K+1} = d_KdK+1​=dK​ with K<ZNK < Z^NK<ZN, where

lim⁡n→∞VidK(n)=(vK)i,lim⁡n→∞Viπ(n)≤(vK)i  ∀π,lim⁡n→∞Vi(n,α)=(vK)i,\lim_{n\to\infty} V^{d_K}_i(n) = (v_K)_i,\qquad \lim_{n\to\infty} V^\pi_i(n) \le (v_K)_i \ \ \forall \pi,\qquad \lim_{n\to\infty} V_i(n,\alpha) = (v_K)_i ,n→∞lim​VidK​​(n)=(vK​)i​,n→∞lim​Viπ​(n)≤(vK​)i​  ∀π,n→∞lim​Vi​(n,α)=(vK​)i​,

for every state iii and all boundary rewards, every limit existing. This is the paper's "the algorithm of Fig. 1 produces an optimal, stationary policy that is as good as any optimal, nonstationary policy".

Milestones

  1. p. 945: 0≤pijzf~ijz(s)<10 \le p^z_{ij}\tilde f^z_{ij}(s) < 10≤pijz​f~​ijz​(s)<1 for s>0s > 0s>0.
  2. Claim (a): (15) has exactly one solution for each stationary policy.
  3. Eq. (15): the nnn-step return of a stationary policy converges to a solution of (15).
  4. p. 946: I−q~(α)I - \tilde q(\alpha)I−q~​(α) is invertible and ([I−q~(α)]−1)ii≥1([I-\tilde q(\alpha)]^{-1})_{ii} \ge 1([I−q~​(α)]−1)ii​≥1.
  5. Claim (b): a change of policy raises the return of some state and lowers none.
  6. Claim (c): a policy reproduced by the improvement step is optimal among stationary policies.
  7. Claim (d): a run of Fig. 1 terminates within ZNZ^NZN cycles.
  8. Eq. (14): Vi(n,α)V_i(n,\alpha)Vi​(n,α) converges, independently of the boundary rewards, to a solution of vi=max⁡z{ρiz(α)+∑jpijzf~ijz(α)vj}v_i = \max_z\{\rho^z_i(\alpha) + \sum_j p^z_{ij}\tilde f^z_{ij}(\alpha) v_j\}vi​=maxz​{ρiz​(α)+∑j​pijz​f~​ijz​(α)vj​}.
  9. p. 946: some stationary policy's return dominates the limiting return of every nonstationary policy.

Significance

The result says that the infinite-step discounted Markov-renewal program is solved exactly, in finitely many cycles, by a finite-dimensional algorithm, and that the answer is a stationary policy. As the paper notes, this matters operationally because a nonstationary policy is hard to follow. The sojourn distributions enter only through the numbers f~ijz(α)\tilde f^z_{ij}(\alpha)f~​ijz​(α), so the same algorithm serves any sojourn-time law. For fixed α\alphaα the model is a discounted Markov decision process whose discount factor depends on the transition, which contains Howard's and Blackwell's constant-discount problem as the case of intervals of fixed length (p. 943).

The results are classical and proved in the literature. The paper itself refers the proofs to Howard and Blackwell. Machine-checked versions exist on this platform for finite stochastic shortest path and constant-discount problems (Bertsekas, Dynamic Programming and Optimal Control, Prop. 7.2.2 and 7.3.1, mission Dynamic Programming and Optimal Control VII). No formal treatment of Markov-renewal programs, of transition-dependent discounting, or of the retention rule of Fig. 1 is known to exist. The mission produces a verified policy-iteration theorem for semi-Markov decision processes, with an explicit termination bound and the comparison against nonstationary policies.

Difficulty

The discount over one transition, f~ijz(α)\tilde f^z_{ij}(\alpha)f~​ijz​(α), varies with iii, jjj and zzz, so the problem is not a constant-γ\gammaγ contraction of textbook form; the relevant bound is that every row of q~(α)\tilde q(\alpha)q~​(α) sums to less than one, which rests on Fijz(0)=0F^z_{ij}(0) = 0Fijz​(0)=0. Entries in [0,1)[0, 1)[0,1) alone, the paper's stated justification of Claim (a), do not make I−q~(α)I - \tilde q(\alpha)I−q~​(α) invertible: the 2×22 \times 22×2 matrix with every entry 1/21/21/2 has entries in [0,1)[0,1)[0,1), yet III minus it is singular.

Finite termination is not automatic either. If the improvement step may switch between tied maximizers, the iterates can cycle forever between two policies with equal returns; the retention rule of Fig. 1 excludes this, and Claim (b) must deliver a strict increase in some state, with no decrease anywhere, to rule out revisiting a policy. Comparing with nonstationary policies requires controlling returns of arbitrary policy sequences, whose limits must be shown to exist, not assumed.

Formalization scope

  • States and alternatives are finite types; alternatives are nonempty. Every alternative is available in every state.
  • FijzF^z_{ij}Fijz​ is a probability measure on R\mathbb RR with no mass on (−∞,0](-\infty, 0](−∞,0]. The transform is integrated over (0,∞)(0, \infty)(0,∞), which carries all the mass.
  • The one-transition returns ρijz(α)\rho^z_{ij}(\alpha)ρijz​(α) are arbitrary real numbers, a generalization of the paper's Stieltjes integral (4), which is not formalized. The reward functions Rijz(t∣τ)R^z_{ij}(t\mid\tau)Rijz​(t∣τ) do not appear.
  • Returns of policies are defined by the one-step recursion (the policy form of (6)); the Markov-renewal process is not built as a stochastic process.
  • Policies are the paper's: deterministic and Markov, nonstationary ones indexed by the number of transitions made. Randomized and history-dependent policies are not in the comparison class.
  • The following informal words are read as follows. "Solve the set of simultaneous equations": (15) has exactly one solution. "Strictly increases the expected return of at least one state": no state's return decreases and one strictly increases, under the hypothesis that the policy changed. "No other policy can lead to higher expected returns" in Claim (c): no stationary policy. "Terminates in a finite number of cycles": two successive policies coincide at some cycle K<ZNK < Z^NK<ZN. "If there is no improvement in the test quantity, retain the same alternative": the old alternative is kept whenever it attains the maximum. "Optimal" and "as good as any nonstationary policy": the limiting return of the returned policy dominates that of every policy from every state, for all boundary rewards. "lim⁡n→∞Vi(n,α)\lim_{n\to\infty} V_i(n,\alpha)limn→∞​Vi​(n,α)": the limit is proved to exist. "max⁡z\max_zmaxz​": a maximum over the finite nonempty set of alternatives.
  • Eq. (14) is printed with vi(α)v_i(\alpha)vi​(α) inside the sum over jjj; the formalization uses vj(α)v_j(\alpha)vj​(α), as (6), (15) and Fig. 1 do.
  • Every statement fixes one α>0\alpha > 0α>0. The undiscounted models (16)–(19), the finite-time and mixed-horizon models (9)–(13), and the infinite-time case of the stationarity result are out of scope.
  • The return of a policy is never defined through a matrix inverse, whose Mathlib value for a singular matrix is 000; (15) is a predicate, and the goal asserts unique solvability, so a vacuous reading through junk inverses or assumed limits is excluded.

Reusable infrastructure: bounds for substochastic matrices with row sums below one (invertibility, Neumann series, nonnegative inverse), convergence of iterated Bellman operators with transition-dependent discount, and the policy-iteration termination argument with a tie-breaking rule. Proofs of any milestone and alternative arguments are welcome.

Selected references

  • W. S. Jewell, Markov-Renewal Programming. I: Formulation, Finite Return Models, Operations Research 11(6), 938–948, 1963. https://doi.org/10.1287/opre.11.6.938
  • W. S. Jewell, Markov-Renewal Programming. II: Infinite Return Models, Example, Operations Research 11(6), 949–971, 1963. https://doi.org/10.1287/opre.11.6.949
  • R. A. Howard, Dynamic Programming and Markov Processes, MIT Press, 1960.
  • D. Blackwell, Discrete Dynamic Programming, Annals of Mathematical Statistics 33(2), 719–726, 1962. https://doi.org/10.1214/aoms/1177704593
  • R. Pyke, Markov Renewal Processes: Definitions and Preliminary Properties, Annals of Mathematical Statistics 32(4), 1231–1242, 1961. https://doi.org/10.1214/aoms/1177704863
  • D. P. Bertsekas, Dynamic Programming and Optimal Control, Vol. I, 3rd ed., Athena Scientific, 2005, Section 7.2–7.3.
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Stochastic Dynamic Programming and the Control of Queueing Systems VIII: Computing Average Cost Optimal Policies by Approximating SequencesTextbook

Motivation

Control problems for queueing systems (admission control, service rate control, routing to parallel servers) are naturally modelled as Markov decision chains whose state is a vector of queue lengths. The state space is therefore denumerably infinite, and the performance measure of interest is usually the long-run average cost per slot. For such models the existence theory of average cost optimal stationary policies is well developed (Chapter 7 of Sennott's book), but existence gives no algorithm: an optimal policy is a function on an infinite set, and value iteration cannot be run on an infinite state space.

The approximating sequence method answers this by replacing the infinite model Δ\DeltaΔ with a sequence of finite models ΔN\Delta_NΔN​ on truncated state spaces SNS_NSN​, solving the average cost optimality equation in each, and passing to the limit. Chapter 8 of L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems (Wiley, 1999) gives a set of conditions, the (AC) assumptions, under which this limit procedure provably produces the minimum average cost and an average cost optimal policy of Δ\DeltaΔ.

Timeline. The approximating sequence method for the average cost criterion and the (AC) assumptions were introduced in Sennott (1997a), with further results in Sennott (1997b) (bibliographic notes, p. 194). The book collects these results, adds the four step verification template (Proposition 8.2.1), the finite-set augmentation route based on the (BOR) assumptions (Proposition 8.2.3), and the weakening (WAC) of Section 8.7, which Chapter 9 uses.

Setting

An MDC Δ\DeltaΔ has a countable state space SSS, a finite nonempty action set AiA_iAi​ in each state iii, a finite cost C(i,a)≥0C(i,a)\ge0C(i,a)≥0, and transition probabilities Pij(a)P_{ij}(a)Pij​(a). A general policy θ\thetaθ chooses actions at random using the whole past history. Its average cost is

Jθ(i)=lim sup⁡n→∞1n∑t=0n−1Eθ[C(Xt,At)∣X0=i],J_\theta(i)=\limsup_{n\to\infty}\frac1n\sum_{t=0}^{n-1}E_\theta[C(X_t,A_t)\mid X_0=i],Jθ​(i)=n→∞limsup​n1​t=0∑n−1​Eθ​[C(Xt​,At​)∣X0​=i],

and the minimum average cost is J(i)=inf⁡θJθ(i)∈[0,∞]J(i)=\inf_\theta J_\theta(i)\in[0,\infty]J(i)=infθ​Jθ​(i)∈[0,∞]. A policy is average cost optimal if Jθ≡JJ_\theta\equiv JJθ​≡J.

An approximating sequence (ΔN)N≥N0(\Delta_N)_{N\ge N_0}(ΔN​)N≥N0​​ consists of finite sets SNS_NSN​ increasing to SSS and MDCs ΔN\Delta_NΔN​ on SNS_NSN​ with the same actions and costs and with transition probabilities Pij(a;N)P_{ij}(a;N)Pij​(a;N) on SNS_NSN​ converging to Pij(a)P_{ij}(a)Pij​(a). Write vnNv^N_nvnN​ and VαNV^N_\alphaVαN​ for the nnn-horizon and discounted value functions of ΔN\Delta_NΔN​.

The (AC) assumptions are:

  • (AC1) there are finite constants JNJ^NJN and finite functions rNr^NrN on SNS_NSN​ with
JN+rN(i)=min⁡a{C(i,a)+∑j∈SNPij(a;N) rN(j)},i∈SN;(8.1)J^N+r^N(i)=\min_a\Big\{C(i,a)+\sum_{j\in S_N}P_{ij}(a;N)\,r^N(j)\Big\},\qquad i\in S_N; \tag{8.1}JN+rN(i)=amin​{C(i,a)+j∈SN​∑​Pij​(a;N)rN(j)},i∈SN​;(8.1)
  • (AC2) lim sup⁡NrN(i)<∞\limsup_N r^N(i)<\inftylimsupN​rN(i)<∞;
  • (AC3) lim inf⁡NrN(i)≥−Q\liminf_N r^N(i)\ge -QliminfN​rN(i)≥−Q for a constant Q≥0Q\ge0Q≥0;
  • (AC4) J∗:=lim sup⁡NJN<∞J^*:=\limsup_N J^N<\inftyJ∗:=limsupN​JN<∞ and J∗≤J(i)J^*\le J(i)J∗≤J(i) for all iii.

The (WAC) assumptions of Section 8.7 allow QQQ to depend on the state, at the price of integrability conditions along every stationary policy.

Formalization targets

Goal: Theorem 8.1.1

Under (AC), the limit lim⁡N→∞JN\lim_{N\to\infty}J^NlimN→∞​JN exists and

J(i)=lim⁡N→∞JNfor all i∈S,J(i)=\lim_{N\to\infty}J^N\qquad\text{for all } i\in S,J(i)=N→∞lim​JNfor all i∈S,

and every limit point e∗e^*e∗ of stationary policies eNe^NeN realizing the minimum in (8.1) is average cost optimal for Δ\DeltaΔ. The statement fixes no constants; it asserts the shape of the conclusion for any model satisfying (AC).

Milestones

  • Proposition 8.2.1 (the four step template): unichain and aperiodicity of the finite models, an xxx standard policy at which the approximating sequence is conforming, a comparison of vnNv^N_nvnN​ (or VαNV^N_\alphaVαN​) with vnv_nvn​ (or VαV_\alphaVα​), and a lower bound on vnN−vnN(x)v^N_n - v^N_n(x)vnN​−vnN​(x) together imply that the value iteration limits
rN(i)=lim⁡n→∞(vnN(i)−vnN(x))r^N(i)=\lim_{n\to\infty}\big(v^N_n(i)-v^N_n(x)\big)rN(i)=n→∞lim​(vnN​(i)−vnN​(x))

exist and satisfy (AC).

  • Corollary 8.2.2: on S={0,1,2,… }S=\{0,1,2,\dots\}S={0,1,2,…} with SN={0,…,N}S_N=\{0,\dots,N\}SN​={0,…,N} and excess probability sent to NNN, monotonicity of vnNv^N_nvnN​, vnv_nvn​ and of the first passage moments of a 000 standard policy suffices.
  • Proposition 8.2.3: an augmentation type approximating sequence that sends excess probability to a finite set of cheap states satisfies the template.
  • Proposition 8.5.1: in the single-server queue with Bernoulli(ppp) arrivals and constant service rate a>pa>pa>p,
Jd(a)=Hp(1−p)a−p+pC(a)a.J_{d(a)}=\frac{Hp(1-p)}{a-p}+\frac{pC(a)}{a}.Jd(a)​=a−pHp(1−p)​+apC(a)​.
  • Proposition 8.7.1: the conclusions of Theorem 8.1.1 hold under (WAC).

Significance

The result itself. Theorem 8.1.1 is what turns the existence theory of Chapter 7 into a computation. It certifies that the minimum average costs of the truncations converge to the minimum average cost of the infinite model, that this cost is constant, and that the policies produced by value iteration on ΔN\Delta_NΔN​ converge, along subsequences, to an optimal policy for Δ\DeltaΔ. Propositions 8.2.1–8.2.3 reduce (AC) to properties that can be checked model by model; Section 8.3 checks them for queues with reject option, service rate control, and routing to parallel queues. Proposition 8.7.1 is the version used in Chapter 9 for models whose relative values are not uniformly bounded below. Proposition 8.5.1 gives the closed-form open-loop benchmark used in the numerical study of Section 8.5.

Formalizing it. All results are proved in the book; none has a machine-checked proof. A formalization would give the first verified convergence theorem for truncations of denumerable-state average cost MDPs, and would make the approximating sequence method usable as a certified reduction from infinite to finite models. The template results (8.2.1–8.2.3) additionally require a formal treatment of conformity of approximating Markov chains (Appendix C.4–C.5), which is of independent use.

Difficulty

The naive argument takes limits in (8.1) along NNN: the minimum over aaa and the finite sums pass to the limit only in the inequality direction, and only after a Fatou-type lemma for sums against the converging distributions Pij(a;N)P_{ij}(a;N)Pij​(a;N) with integrands rNr^NrN that are neither bounded nor monotone. The lower bound −Q-Q−Q in (AC3) is exactly what makes this possible; without it the limit inequality can fail. The limit inequality then produces only an average cost optimality inequality, and turning it into optimality of the limit policy requires a separate argument that a function bounded below and satisfying the inequality yields an upper bound on the average cost. Existence of lim⁡NJN\lim_N J^NlimN​JN is not given: (AC4) controls only the limit superior, and the limit must be identified through every subsequence. For the template results, the difficulty is in the Markov chain side: the convergence of first passage times and costs of the truncated chains, which fails for general approximating sequences (Examples C.4.4, C.4.7).

Formalization scope

The Lean development is in the namespace SennottDP.AvgASM. The state space is any countable type; action sets are Finsets, assumed nonempty; costs are finite and nonnegative (ℝ≥0); transition probabilities are ℝ≥0∞-valued, with each row a probability distribution for admissible actions. All value functions and average costs take values in [0,∞][0,\infty][0,∞] (ℝ≥0∞), and every infimum over policies ranges over the full class of history-dependent randomized policies. The JNJ^NJN and rNr^NrN of (AC1) are real; the limits superior and inferior over NNN in (AC2)–(AC4) and (WAC) are taken in EReal, so an unbounded sequence cannot produce a junk finite value. The equality J(i)=lim⁡NJNJ(i)=\lim_N J^NJ(i)=limN​JN is stated in EReal, which also asserts that J(i)J(i)J(i) is finite. Quantities of ΔN\Delta_NΔN​ at states outside SNS_NSN​ are junk values that affect only finitely many NNN for each state.

A trivializing formalization is ruled out: JNJ^NJN and rNr^NrN are the witnesses of (AC1), not free variables, the policies eNe^NeN must realize the minimum in (8.1) for those witnesses, and the minimum average cost JJJ is an infimum over all policies, so the goal cannot be satisfied by choosing J∗J^*J∗ or the limit policy.

A complete development needs: the induced process law of a general policy; the average cost optimality inequality argument (Lemma 7.2.1); the finite-state average cost results of Chapter 6 (Propositions 6.4.1, 6.5.1, 6.6.3); a Fatou lemma for converging distributions (Proposition A.2.5); limit points of policy sequences (Proposition B.5); and, for the template results, the theory of zzz standard chains and conformity (Appendix C.2–C.5). The Markov chain layer and the approximating sequence definitions are reusable beyond this mission. Contributions of any of these intermediate results as separate theorems are welcome.

Selected references

  • L. I. Sennott, Stochastic Dynamic Programming and the Control of Queueing Systems, Wiley Series in Probability and Statistics, John Wiley & Sons, 1999. https://doi.org/10.1002/9780470317037
  • L. I. Sennott, "The computation of average optimal policies in denumerable state Markov decision chains", Advances in Applied Probability 29 (1997), 114–137 (cited as Sennott (1997a) in the book).
  • L. I. Sennott, "On computing average cost optimal policies with application to routing to parallel queues", ZOR — Mathematical Methods of Operations Research 45 (1997), 45–62 (cited as Sennott (1997b) in the book).
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A Note on Metropolis–Hastings Kernels for General State Spaces III: The Maximal Kernel of a Mixture Proposal Dominates the Mixture of Maximal Kernels Off the DiagonalResearch Paper

Motivation

A Markov chain Monte Carlo sampler is often assembled from simpler parts. A practitioner who has several proposal mechanisms Q1,Q2,…Q_1, Q_2, \dotsQ1​,Q2​,… for a Metropolis–Hastings sampler can combine them in two ways. Either each QiQ_iQi​ drives its own Metropolis–Hastings kernel PiP_iPi​ and the sampler picks kernel PiP_iPi​ with probability βi\beta_iβi​ at each step, or the mixture Q=∑iβiQiQ = \sum_i \beta_i Q_iQ=∑i​βi​Qi​ is used as a single proposal inside one Metropolis–Hastings kernel. Both samplers leave the target π\piπ invariant, so the choice is about efficiency.

Section 4 of Tierney (1998) settles the comparison: when both samplers use the maximal acceptance probability, the second never does worse in terms of asymptotic variances of sample-path averages. The statement that carries this is Proposition 5, an ordering of kernels in Peskun's off-diagonal order; the variance comparison then follows from Theorem 4 of the same paper, the general-state-space extension of Peskun (1973).

Timeline. Peskun (1973) introduced off-diagonal domination for finite state spaces and showed that the Metropolis–Hastings acceptance probability is maximal in that order. A version of Proposition 5 for discrete chains appears in the appendix of Tierney (1991) and in the rejoinder of Besag, Green, Higdon and Mengersen (1995). Tierney (1998) states and proves it for general state spaces, using the measure-theoretic description of Metropolis–Hastings kernels from §2 of the same paper.

Setting

Let (E,E)(E, \mathcal E)(E,E) be a measurable space and π\piπ a probability measure on it, the target. A proposal kernel Q(x,dy)Q(x, dy)Q(x,dy) is a Markov kernel on EEE. Given a measurable acceptance probability α:E×E→[0,1]\alpha : E \times E \to [0,1]α:E×E→[0,1], the Metropolis–Hastings kernel is

P(x,dy)=Q(x,dy) α(x,y)+δx(dy)∫(1−α(x,u)) Q(x,du),P(x, dy) = Q(x, dy)\,\alpha(x, y) + \delta_x(dy) \int \bigl(1 - \alpha(x, u)\bigr)\, Q(x, du),P(x,dy)=Q(x,dy)α(x,y)+δx​(dy)∫(1−α(x,u))Q(x,du),

where δx\delta_xδx​ is the point mass at xxx (mhKernel Q α).

Put μ(dx,dy)=π(dx)Q(x,dy)\mu(dx, dy) = \pi(dx) Q(x, dy)μ(dx,dy)=π(dx)Q(x,dy) and μT(dx,dy)=μ(dy,dx)\mu^T(dx, dy) = \mu(dy, dx)μT(dx,dy)=μ(dy,dx). With ν=μ+μT\nu = \mu + \mu^Tν=μ+μT and h=dμ/dνh = d\mu/d\nuh=dμ/dν (canonDensity), let

R={(x,y):h(x,y)>0, h(y,x)>0},r(x,y)=h(x,y)/h(y,x) on R,r=1 on RcR = \{(x, y) : h(x, y) > 0,\ h(y, x) > 0\},\qquad r(x, y) = h(x, y)/h(y, x) \text{ on } R,\quad r = 1 \text{ on } R^cR={(x,y):h(x,y)>0, h(y,x)>0},r(x,y)=h(x,y)/h(y,x) on R,r=1 on Rc

(canonR, canonRatio). The set RRR is symmetric, μ\muμ and μT\mu^TμT are mutually absolutely continuous on RRR and mutually singular off it (Proposition 1 of the paper). The Metropolis–Hastings acceptance probability is

αMH(x,y)=min⁡{1,r(y,x)} if (x,y)∈R,αMH(x,y)=0 otherwise\alpha_{MH}(x, y) = \min\{1, r(y, x)\} \text{ if } (x, y) \in R, \qquad \alpha_{MH}(x, y) = 0 \text{ otherwise}αMH​(x,y)=min{1,r(y,x)} if (x,y)∈R,αMH​(x,y)=0 otherwise

(alphaMH π Q), and the kernel with α=αMH\alpha = \alpha_{MH}α=αMH​ is the maximal Metropolis–Hastings kernel for QQQ (maxMHKernel π Q).

For kernels P1,P2P_1, P_2P1​,P2​ on EEE, P1P_1P1​ dominates P2P_2P2​ off the diagonal, P1⪰P2P_1 \succeq P_2P1​⪰P2​ (OffDiagDominates π P₁ P₂), if for π\piπ-almost every xxx, P1(x,A∖{x})≥P2(x,A∖{x})P_1(x, A \setminus \{x\}) \ge P_2(x, A \setminus \{x\})P1​(x,A∖{x})≥P2​(x,A∖{x}) for all A∈EA \in \mathcal EA∈E. For a countable family of kernels KiK_iKi​ and weights βi≥0\beta_i \ge 0βi​≥0, the mixture ∑iβiKi\sum_i \beta_i K_i∑i​βi​Ki​ is the kernel x↦∑iβiKi(x,⋅)x \mapsto \sum_i \beta_i K_i(x, \cdot)x↦∑i​βi​Ki​(x,⋅) (mixKernel β K).

Formalization targets

Goal: Proposition 5

Let QiQ_iQi​ be a finite or countable family of proposal kernels and βi≥0\beta_i \ge 0βi​≥0 with ∑iβi=1\sum_i \beta_i = 1∑i​βi​=1. Let PiP_iPi​ be the maximal Metropolis–Hastings kernel for QiQ_iQi​ and PPP the maximal Metropolis–Hastings kernel for Q=∑iβiQiQ = \sum_i \beta_i Q_iQ=∑i​βi​Qi​. Then

P⪰∑iβiPi.P \succeq \sum_i \beta_i P_i .P⪰i∑​βi​Pi​.

Both sides use maximal kernels: PPP uses αMH\alpha_{MH}αMH​ of the mixture proposal, each PiP_iPi​ its own αMH(i)\alpha^{(i)}_{MH}αMH(i)​, and the same weights βi\beta_iβi​ form both mixtures.

Milestones

  1. The construction in the proof of Proposition 1 (p. 2) yields a set RRR and ratio rrr with the properties of Proposition 1 for μ=π⊗Q\mu = \pi \otimes Qμ=π⊗Q.
  2. αMH\alpha_{MH}αMH​ satisfies conditions (i) and (ii) of Theorem 2 (p. 3): αMH=0\alpha_{MH} = 0αMH​=0 μ\muμ-a.e. on RcR^cRc, and αMH(x,y)r(x,y)=αMH(y,x)\alpha_{MH}(x, y) r(x, y) = \alpha_{MH}(y, x)αMH​(x,y)r(x,y)=αMH​(y,x) μ\muμ-a.e. on RRR.
  3. The maximal kernel satisfies detailed balance, π(dx)P(x,dy)=π(dy)P(y,dx)\pi(dx) P(x, dy) = \pi(dy) P(y, dx)π(dx)P(x,dy)=π(dy)P(y,dx).
  4. For any symmetric σ\sigmaσ-finite ν\nuν dominating μ\muμ, with h=dμ/dνh = d\mu/d\nuh=dμ/dν:
π(dx)Q(x,dy) αMH(x,y)=min⁡{h(y,x),h(x,y)} ν(dx,dy).\pi(dx) Q(x, dy)\, \alpha_{MH}(x, y) = \min\{h(y, x), h(x, y)\}\, \nu(dx, dy).π(dx)Q(x,dy)αMH​(x,y)=min{h(y,x),h(x,y)}ν(dx,dy).
  1. As measures on E×EE \times EE×E:
π(dx)Q(x,dy) αMH(x,y)≥∑iβi π(dx)Qi(x,dy) αMH(i)(x,y).\pi(dx) Q(x, dy)\, \alpha_{MH}(x, y) \ge \sum_i \beta_i\, \pi(dx) Q_i(x, dy)\, \alpha^{(i)}_{MH}(x, y).π(dx)Q(x,dy)αMH​(x,y)≥i∑​βi​π(dx)Qi​(x,dy)αMH(i)​(x,y).

A companion item states the maximality of αMH\alpha_{MH}αMH​ (§3, p. 7): every measurable acceptance probability α\alphaα whose kernel is reversible satisfies α≤αMH\alpha \le \alpha_{MH}α≤αMH​ μ\muμ-a.e., so the maximal kernel dominates every reversible Metropolis–Hastings kernel with the same proposal.

Significance

The result. Proposition 5, combined with Theorem 4 of the paper (off-diagonal domination orders asymptotic variances of reversible kernels), shows that for every function fff with finite variance the asymptotic variance of 1n∑kf(Xk)\frac1n \sum_{k} f(X_k)n1​∑k​f(Xk​) under the mixture-proposal sampler is at most that under the mixture of samplers. Per-iteration cost can be higher for the mixture proposal, since αMH\alpha_{MH}αMH​ then needs the densities of all components; Proposition 5 isolates the statistical side of that trade-off. The maximality companion states the fact behind the name "maximal kernel": αMH\alpha_{MH}αMH​ is the largest acceptance probability that keeps a Metropolis–Hastings kernel reversible.

Formalizing it. The paper's proof is a computation of about six lines with Radon–Nikodym densities. A formal version must make explicit what the computation leaves implicit: that αMH\alpha_{MH}αMH​, defined from one dominating measure, has the same density form for every symmetric dominating measure; that the measure inequality on E×EE \times EE×E passes to the kernel-level statement with one null set for all AAA; and that the mixture proposal and the mixture of kernels are handled as countable sums of kernels. As of September 2026 neither Mathlib nor this platform has a machine-checked version of Proposition 5, of the maximality of αMH\alpha_{MH}αMH​, or of reversibility of the Metropolis–Hastings kernel on a general state space; only finite-state Metropolis chains have been formalized on the platform.

Difficulty

The obvious argument works pointwise with densities: write every kernel as a density against a common reference measure and compare min⁡{⋅,⋅}\min\{\cdot, \cdot\}min{⋅,⋅} of sums with sums of minima. On a general state space there is no common reference measure given in advance, and αMH\alpha_{MH}αMH​ is only defined up to μ\muμ-null sets, through a Radon–Nikodym derivative with respect to μ+μT\mu + \mu^Tμ+μT, a measure that differs for QQQ and for each QiQ_iQi​. The step that needs care is relating these different versions: the densities hih_ihi​ of the μi\mu_iμi​ against a common symmetric ν\nuν, the density of μ=∑iβiμi\mu = \sum_i \beta_i \mu_iμ=∑i​βi​μi​, and the transpose densities h(y,x)h(y, x)h(y,x), which are densities of μT\mu^TμT only because ν\nuν is symmetric.

The second difficulty is the passage from measures to kernels. The inequality between measures on E×EE \times EE×E gives, for each fixed AAA, the kernel inequality for π\piπ-almost every xxx, with a null set that depends on AAA. The order ⪰\succeq⪰ requires one null set for all AAA, and the diagonal must be removed, which needs the diagonal to be measurable.

Formalization scope

The formalization is in Lean 4 with Mathlib, in the namespace TierneyMH.Mixture. The state space is a type E with a σ-algebra; π is a probability measure; proposal kernels are Markov kernels Kernel E E. Acceptance probabilities and densities take values in [0,∞][0, \infty][0,∞] (ℝ≥0∞); a general α\alphaα is assumed measurable with α≤1\alpha \le 1α≤1. μ\muμ is π ⊗ₘ Q, μT\mu^TμT its image under Prod.swap, detailed balance is Kernel.IsReversible. Mixtures are indexed by a countable type ("a sequence", which includes finite families), with weights in ℝ≥0 and HasSum β 1.

Added hypotheses, both labelled in the statements: singletons are measurable (implicit in the paper's A∖{x}A \setminus \{x\}A∖{x} and δx\delta_xδx​), on the goal and the maximality companion; and, on the goal only, the σ-algebra of EEE is countably generated. The second is an addition to the paper: it is what makes the exceptional null set in ⪰\succeq⪰ uniform over AAA in the passage from the measure inequality to the kernels. It is not assumed in the measure-level milestones.

αMH\alpha_{MH}αMH​ is one fixed version, built from Mathlib's rnDeriv exactly as in the proof of Proposition 1 (with ν=μ+μT\nu = \mu + \mu^Tν=μ+μT, not an arbitrary dominating measure), and all statements are insensitive to the version. The ratio rrr is set to 1 on the null subset of RRR where hhh is infinite, so that 0<r<∞0 < r < \infty0<r<∞ and r(x,y)=1/r(y,x)r(x, y) = 1/r(y, x)r(x,y)=1/r(y,x) hold everywhere, as Proposition 1 asks.

Trivializations ruled out: αMH\alpha_{MH}αMH​ is the indicator of RRR times min⁡{1,r(y,x)}\min\{1, r(y, x)\}min{1,r(y,x)}, never an arbitrary acceptance function or a single α\alphaα shared by all components; ⪰\succeq⪰ compares A∖{x}A \setminus \{x\}A∖{x}, not AAA (on AAA the rejection masses differ and the comparison is false); and the conclusion is about the Metropolis–Hastings kernels themselves, not about the measure identity alone. All hypotheses are satisfiable, for instance on EEE = Bool with π\piπ uniform, two proposals Q1=πQ_1 = \piQ1​=π and Q2=δxQ_2 = \delta_xQ2​=δx​ and weights (1/2,1/2)(1/2, 1/2)(1/2,1/2).

Needed infrastructure, reusable for other Metropolis–Hastings results: Radon–Nikodym calculus for product measures and their transposes, countable sums of kernels, and a monotone-class argument over a countable generating family. The Metropolis–Hastings kernel, RRR, rrr and off-diagonal domination are defined identically in the companion missions I (detailed balance, Theorem 2) and II (Peskun ordering, Theorem 4) of this series. Proofs of milestones in any order, and proofs of the goal from the milestones, are welcome.

Selected references

  • L. Tierney, A Note on Metropolis–Hastings Kernels for General State Spaces, The Annals of Applied Probability 8(1), 1998, 1–9. https://doi.org/10.1214/aoap/1027961031
  • P. H. Peskun, Optimum Monte Carlo sampling using Markov chains, Biometrika 60(3), 1973, 607–612. https://doi.org/10.1093/biomet/60.3.607
  • J. Besag, P. Green, D. Higdon, K. Mengersen, Bayesian computation and stochastic systems (with discussion), Statistical Science 10(1), 1995, 3–66. https://doi.org/10.1214/ss/1177010123
  • W. K. Hastings, Monte Carlo sampling methods using Markov chains and their applications, Biometrika 57(1), 1970, 97–109. https://doi.org/10.1093/biomet/57.1.97
  • N. Metropolis, A. W. Rosenbluth, M. N. Rosenbluth, A. H. Teller, E. Teller, Equations of state calculations by fast computing machines, J. Chemical Physics 21, 1953, 1087–1091. https://doi.org/10.1063/1.1699114
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A Note on Metropolis–Hastings Kernels for General State Spaces II: Off-Diagonal Domination Orders the Asymptotic Variances of Reversible Kernels (Peskun's Theorem)Research Paper

Motivation

Markov chain Monte Carlo (MCMC) estimates an expectation ∫f dπ\int f\,d\pi∫fdπ by the average of fff along a Markov chain whose invariant distribution is π\piπ. Many chains share the same π\piπ: every Metropolis–Hastings acceptance rule that satisfies detailed balance, every mixture of such kernels, every choice of proposal. Practitioners need a criterion for preferring one of them. The standard yardstick is the asymptotic variance of the ergodic average, the constant in the Markov chain central limit theorem. A smaller asymptotic variance means fewer iterations for the same Monte Carlo error.

Peskun (1973) compared chains on a finite state space through a partial order on transition matrices: if one reversible matrix moves off the diagonal at least as much as another, entry by entry, its asymptotic variances are no larger, for every function. That result justifies the Metropolis–Hastings acceptance probability as the best possible among reversible acceptance rules. It covers only finite state spaces, while MCMC is used almost exclusively on continuous or mixed ones.

Tierney (1998) extended Peskun's theorem to general state spaces, using the spectral approach of Kipnis and Varadhan (1986) for reversible chains. The theorem is the one usually cited when an MCMC paper argues that one sampler dominates another; Mira (2001) surveys orderings built on it.

Setting

Let (E,E)(E, \mathcal E)(E,E) be a measurable space in which singletons are measurable, and let π\piπ be a probability measure on EEE. A Markov kernel HHH assigns to each x∈Ex \in Ex∈E a probability measure H(x,⋅)H(x, \cdot)H(x,⋅), measurably in xxx. It acts on functions by (Hf)(x)=∫f(y) H(x,dy)(Hf)(x) = \int f(y)\,H(x,dy)(Hf)(x)=∫f(y)H(x,dy). The measure π\piπ is invariant for HHH if ∫H(x,A) π(dx)=π(A)\int H(x, A)\,\pi(dx) = \pi(A)∫H(x,A)π(dx)=π(A) for every A∈EA \in \mathcal EA∈E. The kernel HHH is reversible with respect to π\piπ (satisfies detailed balance) if

π(dx) H(x,dy)=π(dy) H(y,dx),\pi(dx)\,H(x,dy) = \pi(dy)\,H(y,dx),π(dx)H(x,dy)=π(dy)H(y,dx),

that is, ∫AH(x,B) π(dx)=∫BH(x,A) π(dx)\int_A H(x,B)\,\pi(dx) = \int_B H(x,A)\,\pi(dx)∫A​H(x,B)π(dx)=∫B​H(x,A)π(dx) for all A,B∈EA, B \in \mathcal EA,B∈E. Reversibility implies invariance.

Write ⟨f,g⟩=∫fg dπ\langle f, g\rangle = \int fg\,d\pi⟨f,g⟩=∫fgdπ, L2(π)L^2(\pi)L2(π) for the square-integrable functions and L02(π)={g∈L2(π):∫g dπ=0}L^2_0(\pi) = \{g \in L^2(\pi) : \int g\,d\pi = 0\}L02​(π)={g∈L2(π):∫gdπ=0}.

Off-diagonal domination. For kernels P1,P2P_1, P_2P1​,P2​, P1⪰P2P_1 \succeq P_2P1​⪰P2​ (OffDiagDominates π P₁ P₂) if for π\piπ-almost every xxx,

P1(x,A∖{x})≥P2(x,A∖{x})for all A∈E.P_1(x, A\setminus\{x\}) \ge P_2(x, A \setminus\{x\}) \quad\text{for all } A \in \mathcal E.P1​(x,A∖{x})≥P2​(x,A∖{x})for all A∈E.

So from almost every state P1P_1P1​ moves to every region at least as readily as P2P_2P2​, and the kernels differ only in the probability of staying put.

The chain and its asymptotic variance. For a Markov kernel HHH, let X0,X1,…X_0, X_1, \dotsX0​,X1​,… be the Markov chain with initial distribution π\piπ and transition kernel HHH (chainMeasure π H, a measure on paths N→E\mathbb N \to EN→E). For f∈L02(π)f \in L^2_0(\pi)f∈L02​(π) put Sn=∑i=1nf(Xi)S_n = \sum_{i=1}^n f(X_i)Sn​=∑i=1n​f(Xi​) (pathSum f n) and

v(f,H)=lim⁡n→∞1nVar⁡H(Sn)∈[0,∞].v(f, H) = \lim_{n \to \infty} \frac1n \operatorname{Var}_H(S_n) \in [0, \infty].v(f,H)=n→∞lim​n1​VarH​(Sn​)∈[0,∞].

The lag inner products are ⟨f,Hkf⟩=∫f(x)∫f(y) Hk(x,dy) π(dx)\langle f, H^k f\rangle = \int f(x) \int f(y)\,H^k(x,dy)\,\pi(dx)⟨f,Hkf⟩=∫f(x)∫f(y)Hk(x,dy)π(dx) (lagInner π H f k), and for 0≤λ<10 \le \lambda < 10≤λ<1 the regularized variance is vλ(f,H)=⟨f,f⟩+2∑k≥1λk⟨f,Hkf⟩v_\lambda(f,H) = \langle f,f\rangle + 2 \sum_{k\ge1} \lambda^k \langle f, H^k f\ranglevλ​(f,H)=⟨f,f⟩+2∑k≥1​λk⟨f,Hkf⟩ (vLam π H f lam).

Formalization targets

Goal: Theorem 4 (p. 5)

Let P1,P2P_1, P_2P1​,P2​ be Markov kernels reversible with respect to π\piπ, f∈L02(π)f \in L^2_0(\pi)f∈L02​(π), and P1⪰P2P_1 \succeq P_2P1​⪰P2​. Then both asymptotic variances exist in [0,∞][0,\infty][0,∞] and

v(f,P1)≤v(f,P2).v(f, P_1) \le v(f, P_2).v(f,P1​)≤v(f,P2​).

No rate, constant or regularity of the kernels is fixed. The statement is the ordering itself, valid for every reversible pair and every f∈L02(π)f \in L^2_0(\pi)f∈L02​(π).

Milestones, in attack order

  1. Lemma 3 (p. 5): if P1,P2P_1, P_2P1​,P2​ have invariant distribution π\piπ and P1⪰P2P_1 \succeq P_2P1​⪰P2​, then P2−P1P_2 - P_1P2​−P1​ is a positive operator on L2(π)L^2(\pi)L2(π):
∬f(x)f(y) (P2(x,dy)−P1(x,dy)) π(dx)≥0(f∈L2(π)).\iint f(x)f(y)\,\bigl(P_2(x,dy) - P_1(x,dy)\bigr)\,\pi(dx) \ge 0 \qquad (f \in L^2(\pi)).∬f(x)f(y)(P2​(x,dy)−P1​(x,dy))π(dx)≥0(f∈L2(π)).
  1. A reversible kernel is a self-adjoint contraction on L02(π)L^2_0(\pi)L02​(π) (p. 5): ⟨Hf,g⟩=⟨f,Hg⟩\langle Hf, g\rangle = \langle f, Hg\rangle⟨Hf,g⟩=⟨f,Hg⟩ and ∥Hf∥≤∥f∥\|Hf\| \le \|f\|∥Hf∥≤∥f∥.
  2. Finite-nnn variance identity (p. 5), for n≥1n \ge 1n≥1:
1nVar⁡H(Sn)=⟨f,f⟩+2∑i=1nn−in ⟨f,Hif⟩.\frac1n \operatorname{Var}_H(S_n) = \langle f,f\rangle + 2\sum_{i=1}^n \frac{n-i}{n}\,\langle f, H^i f\rangle.n1​VarH​(Sn​)=⟨f,f⟩+2i=1∑n​nn−i​⟨f,Hif⟩.
  1. Existence of v(f,H)v(f,H)v(f,H) in [0,∞][0,\infty][0,∞] (p. 6).
  2. vλ(f,H)→v(f,H)v_\lambda(f,H) \to v(f,H)vλ​(f,H)→v(f,H) as λ↑1\lambda \uparrow 1λ↑1, finite or infinite (p. 6).
  3. vλ(f,P1)≤vλ(f,P2)v_\lambda(f,P_1) \le v_\lambda(f,P_2)vλ​(f,P1​)≤vλ​(f,P2​) for 0≤λ<10 \le \lambda < 10≤λ<1 when P1⪰P2P_1 \succeq P_2P1​⪰P2​ (p. 6).

Significance

The result. Theorem 4 turns a pointwise, one-step comparison of kernels, which is easy to check, into a comparison of the quantity that governs Monte Carlo error. Its main consequence, drawn in §3 of the paper, is that the Metropolis–Hastings acceptance probability αMH(x,y)=min⁡{1,r(y,x)}\alpha_{MH}(x,y) = \min\{1, r(y,x)\}αMH​(x,y)=min{1,r(y,x)} gives the maximal kernel in the off-diagonal order among reversible Metropolis–Hastings kernels with a given proposal. It is therefore optimal in asymptotic variance, on arbitrary state spaces. Proposition 5 of the same paper (a separate mission in this series) combines with it to show that a single Metropolis–Hastings kernel built on a mixture proposal beats the mixture of the component kernels. Later orderings of samplers (Mira 2001; Andrieu and Livingstone 2021) take this theorem as their base case.

Formalizing it. The theorem has been proved since 1998. No machine-checked version exists for general state spaces, and none of its milestones is on the platform. The formalization produces reusable infrastructure: the asymptotic variance of a stationary chain as an extended-real limit on Mathlib's Ionescu–Tulcea path measure, the L2L^2L2 facts for reversible kernels (self-adjointness, contraction, the covariance formula for path sums), and the positivity of P2−P1P_2 - P_1P2​−P1​ under off-diagonal domination. Each of these is used again in any formal treatment of MCMC efficiency or the Markov chain central limit theorem.

Difficulty

The direct approach compares the two finite-nnn variances. This fails, and not just technically: the paper exhibits two doubly stochastic, symmetric 4×44\times44×4 matrices with P1⪰P2P_1 \succeq P_2P1​⪰P2​ for which the variance of f(X0)+f(X1)+f(X2)f(X_0)+f(X_1)+f(X_2)f(X0​)+f(X1​)+f(X2​) is 15.4 under P1P_1P1​ and 14.8 under P2P_2P2​ (p. 7). Off-diagonal domination orders the lag-one covariances, but higher-order correlations "need not be ordered" (p. 5). The ordering appears only in the limit, and only for reversible kernels. The comparison must pass through an object that sees all lags at once and is monotone along the segment P1+β(P2−P1)P_1 + \beta(P_2 - P_1)P1​+β(P2​−P1​), and that object involves resolvents of operators on L02(π)L^2_0(\pi)L02​(π). The limit may be infinite, so every comparison must be made in [0,∞][0,\infty][0,∞]. Mathlib has neither the spectral measure of a self-adjoint operator nor the Kipnis–Varadhan theory.

Formalization scope

The state space is {E : Type*} [MeasurableSpace E] with [MeasurableSingletonClass E] wherever off-diagonal domination appears. This is an assumption the paper leaves implicit: A∖{x}A \setminus \{x\}A∖{x} must be an event. π\piπ is a probability measure and all kernels are Markov kernels. Reversibility is Mathlib's Kernel.IsReversible, invariance is Kernel.Invariant. The function fff is measurable with MemLp f 2 π and, for L02L^2_0L02​, ∫ f ∂π = 0; measurability picks a representative of the L2L^2L2 class and costs nothing. The chain is Kernel.trajMeasure started from π\piπ. The sum runs over X1,…,XnX_1,\dots,X_nX1​,…,Xn​, not X0X_0X0​. Variances are Mathlib's evariance in [0,∞][0,\infty][0,∞], and v(f,H)v(f,H)v(f,H) is a Tendsto limit in ℝ≥0∞, so an infinite asymptotic variance is represented. The goal asserts the existence of both limits rather than assuming it, so it cannot hold vacuously. Neither it nor any milestone specializes to finite EEE, to Metropolis–Hastings kernels, or to a chain started from a point. Lemma 3 assumes invariance only, and the theorem requires reversibility, as printed.

Two statements depart in form from the page. The finite-nnn variance identity and vλv_\lambdavλ​ are written through the moments ⟨f,Hkf⟩\langle f, H^k f\rangle⟨f,Hkf⟩ (a Neumann series) instead of through the spectral measure ef,He_{f,H}ef,H​ and the resolvent (I−λH)−1(I-\lambda H)^{-1}(I−λH)−1. The two forms agree for a self-adjoint contraction, and this is noted in each item. The paper's appeal to the spectral theorem and to Kipnis and Varadhan (1986) is not restated as an item: a complete development needs it, or an equivalent argument, as part of the proof. Proofs of any milestone, and reusable lemmas on the path measure (stationarity and the marginal laws of (Xi,Xj)(X_i, X_j)(Xi​,Xj​)), are welcome.

Selected references

  • L. Tierney, A Note on Metropolis–Hastings Kernels for General State Spaces, Ann. Appl. Probab. 8(1), 1–9, 1998. https://doi.org/10.1214/aoap/1027961031
  • P. H. Peskun, Optimum Monte-Carlo sampling using Markov chains, Biometrika 60(3), 607–612, 1973. https://doi.org/10.1093/biomet/60.3.607
  • C. Kipnis and S. R. S. Varadhan, Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions, Comm. Math. Phys. 104, 1–19, 1986. https://doi.org/10.1007/BF01210789
  • A. Mira, Ordering and improving the performance of Monte Carlo Markov chains, Statist. Sci. 16(4), 340–350, 2001. https://doi.org/10.1214/ss/1015346318
  • C. Andrieu and S. Livingstone, Peskun–Tierney ordering for Markovian Monte Carlo: beyond the reversible scenario, Ann. Statist. 49(4), 1958–1981, 2021. https://doi.org/10.1214/20-AOS2008
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A Note on Metropolis–Hastings Kernels for General State Spaces I: Necessary and Sufficient Conditions for a Metropolis–Hastings Kernel to Satisfy Detailed BalanceResearch Paper

Motivation

The Metropolis–Hastings algorithm (Metropolis et al. 1953; Hastings 1970) is the basic construction of Markov chain Monte Carlo. It turns a target probability distribution π\piπ, known only up to a constant, into a Markov chain that has π\piπ as its invariant distribution. Bayesian computation depends on it, and a sampler is usually designed by proving one property: reversibility, or detailed balance, with respect to π\piπ.

For discrete state spaces, or when every measure involved has a density with respect to a common reference measure, the condition on the acceptance probability is the familiar π(x)q(x,y)α(x,y)=π(y)q(y,x)α(y,x)\pi(x)q(x,y)\alpha(x,y)=\pi(y)q(y,x)\alpha(y,x)π(x)q(x,y)α(x,y)=π(y)q(y,x)α(y,x). Samplers used in practice often do not fit this setting: deterministic involutive proposals, mixtures of proposals with different supports, and Green's dimension-changing moves for model selection (Green 1995) have no common density. Each of these was treated separately in the literature. Tierney (1998) gives one necessary and sufficient condition that covers all of them, on an arbitrary measurable state space. This mission formalizes that condition.

Setting

Let (E,E)(E,\mathcal E)(E,E) be a measurable space, with no topological or countability assumption. Let π\piπ be a probability measure on EEE, the target. Let Q(x,dy)Q(x,dy)Q(x,dy) be a Markov transition kernel on EEE, the proposal, and let α:E×E→[0,1]\alpha:E\times E\to[0,1]α:E×E→[0,1] be a measurable function, the acceptance probability. From the current state xxx, a candidate yyy is drawn from Q(x,⋅)Q(x,\cdot)Q(x,⋅) and accepted with probability α(x,y)\alpha(x,y)α(x,y); otherwise the chain stays at xxx. The resulting Metropolis–Hastings kernel (mhKernel Q α) is

P(x,dy)=Q(x,dy) α(x,y)+δx(dy)∫(1−α(x,u)) Q(x,du).(1)P(x,dy)=Q(x,dy)\,\alpha(x,y)+\delta_x(dy)\int\bigl(1-\alpha(x,u)\bigr)\,Q(x,du).\tag{1}P(x,dy)=Q(x,dy)α(x,y)+δx​(dy)∫(1−α(x,u))Q(x,du).(1)

A kernel PPP satisfies detailed balance with respect to π\piπ if the two measures π(dx)P(x,dy)\pi(dx)P(x,dy)π(dx)P(x,dy) and π(dy)P(y,dx)\pi(dy)P(y,dx)π(dy)P(y,dx) on E⊗E\mathcal E\otimes\mathcal EE⊗E are equal (Eq. (2)). Equivalently, ∫AP(x,B) π(dx)=∫BP(x,A) π(dx)\int_A P(x,B)\,\pi(dx)=\int_B P(x,A)\,\pi(dx)∫A​P(x,B)π(dx)=∫B​P(x,A)π(dx) for all measurable A,BA,BA,B, which is Mathlib's Kernel.IsReversible P π.

Put μ(dx,dy)=π(dx)Q(x,dy)\mu(dx,dy)=\pi(dx)Q(x,dy)μ(dx,dy)=π(dx)Q(x,dy) (π ⊗ₘ Q), and let μT(dx,dy)=μ(dy,dx)\mu^T(dx,dy)=\mu(dy,dx)μT(dx,dy)=μ(dy,dx) be its image under the swap (x,y)↦(y,x)(x,y)\mapsto(y,x)(x,y)↦(y,x). A symmetric split (IsSymmetricSplit) is a measurable set R⊆E×ER\subseteq E\times ER⊆E×E with (x,y)∈R  ⟺  (y,x)∈R(x,y)\in R\iff(y,x)\in R(x,y)∈R⟺(y,x)∈R, such that μ\muμ and μT\mu^TμT are mutually absolutely continuous on RRR and mutually singular on its complement RcR^cRc. Informally, RRR consists of the pairs between which the proposal can move in both directions. A ratio version (IsRatioVersion) is a measurable r:E×E→(0,∞)r:E\times E\to(0,\infty)r:E×E→(0,∞) that is a density of μR\mu_RμR​ (the restriction of μ\muμ to RRR) with respect to μRT\mu^T_RμRT​, and satisfies r(x,y)=1/r(y,x)r(x,y)=1/r(y,x)r(x,y)=1/r(y,x) at every point.

Formalization targets

Goal: Theorem 2 (p. 3)

For every π\piπ, QQQ, α\alphaα as above and every symmetric split RRR and ratio version rrr for μ=π⊗Q\mu=\pi\otimes Qμ=π⊗Q:

P satisfies detailed balance w.r.t. π  ⟺  {(i)  α=0μ-a.e. on Rc,(ii) α(x,y) r(x,y)=α(y,x)μ-a.e. on R.P\ \text{satisfies detailed balance w.r.t. }\pi\iff \begin{cases}\text{(i)}\ \ \alpha=0\quad\mu\text{-a.e. on }R^c,\\[2pt] \text{(ii)}\ \alpha(x,y)\,r(x,y)=\alpha(y,x)\quad\mu\text{-a.e. on }R.\end{cases}P satisfies detailed balance w.r.t. π⟺{(i)  α=0μ-a.e. on Rc,(ii) α(x,y)r(x,y)=α(y,x)μ-a.e. on R.​

The paper phrases the left side as condition (4), μ(dx,dy)α(x,y)=μT(dx,dy)α(y,x)\mu(dx,dy)\alpha(x,y)=\mu^T(dx,dy)\alpha(y,x)μ(dx,dy)α(x,y)=μT(dx,dy)α(y,x), which its text identifies with (2) for the kernel (1). The goal states it for the kernel itself.

Milestones

  1. Proposition 1 (p. 2). For every σ\sigmaσ-finite measure μ\muμ on E×EE\times EE×E: a symmetric split RRR exists; any two symmetric splits differ by a set null for both μ\muμ and μT\mu^TμT; and every symmetric split admits a ratio version.
  2. §2, Eqs. (2)–(3) (p. 2). The kernel (1) satisfies (2) if and only if
π(dx)Q(x,dy)α(x,y)=π(dy)Q(y,dx)α(y,x),(3)\pi(dx)Q(x,dy)\alpha(x,y)=\pi(dy)Q(y,dx)\alpha(y,x),\tag{3}π(dx)Q(x,dy)α(x,y)=π(dy)Q(y,dx)α(y,x),(3)

that is, the rejection mass on the diagonal does not affect reversibility.

Companion item

§2, special case 1 (pp. 3–4). If π(dx)=π(x)ν(dx)\pi(dx)=\pi(x)\nu(dx)π(dx)=π(x)ν(dx) and Q(x,dy)=q(x,y)ν(dy)Q(x,dy)=q(x,y)\nu(dy)Q(x,dy)=q(x,y)ν(dy) for a σ\sigmaσ-finite ν\nuν, then R={π(x)q(x,y)>0, π(y)q(y,x)>0}R=\{\pi(x)q(x,y)>0,\ \pi(y)q(y,x)>0\}R={π(x)q(x,y)>0, π(y)q(y,x)>0} is a symmetric split, r=π(x)q(x,y)/(π(y)q(y,x))r=\pi(x)q(x,y)/(\pi(y)q(y,x))r=π(x)q(x,y)/(π(y)q(y,x)) is a density of μR\mu_RμR​ with respect to μRT\mu^T_RμRT​, and detailed balance is equivalent to the two conditions holding ν×ν\nu\times\nuν×ν-almost everywhere.

Significance

Theorem 2 lets reversibility be checked in the same way for every Metropolis–Hastings variant: compute RRR and rrr for the proposal, then verify (i) and (ii). The paper derives from it the reversibility of the standard acceptance probability αMH=min⁡{1,r(y,x)}\alpha_{MH}=\min\{1,r(y,x)\}αMH​=min{1,r(y,x)} on RRR (and 000 off RRR), and the three special cases of §2 are instances. Together with Mathlib's Kernel.IsReversible.invariant, it yields that π\piπ is invariant for the sampler. This is the correctness statement of every MCMC method built on the Metropolis–Hastings kernel. Missions II and III of this series (Peskun ordering; mixture proposals) take reversible Metropolis–Hastings kernels as their objects.

The result is proved in the paper. The mission adds a machine-checked proof at the paper's full generality: no densities, no dominating measure, no countability of E\mathcal EE. The platform currently has only finite-state statements (MarkovMixing.metropolis_stationary, a sufficiency direction on a Fintype state space with a matrix proposal), so neither the general kernel nor the converse direction is formalized there.

Difficulty

The obvious argument works with densities: write both sides of (3) as densities with respect to one reference measure and compare them pointwise. On a general space no such reference is given for μ\muμ and μT\mu^TμT together, and even μ+μT\mu+\mu^Tμ+μT yields densities only up to null sets. Pointwise comparison of densities is therefore not available, and the statement mixes three kinds of almost-everywhere claim (μ\muμ-a.e., μT\mu^TμT-a.e., and a.e. for the restrictions to RRR and RcR^cRc). The Lean statement also has to hold for every version of RRR and rrr, not one convenient choice. Milestone 2 has its own content: the diagonal part of PPP is a measure concentrated on the diagonal, which need not be a measurable set, and its symmetry has to be shown without that measurability.

Formalization scope

  • Space. {E : Type*} [MeasurableSpace E] with nothing else: no measurable singletons, no topology, no countable generation. π : Measure E with [IsProbabilityMeasure π] and Q : Kernel E E with [IsMarkovKernel Q].
  • Acceptance probability. α : E × E → ℝ≥0∞ with the hypotheses Measurable α and ∀ p, α p ≤ 1, which is the paper's measurable α:E×E→[0,1]\alpha:E\times E\to[0,1]α:E×E→[0,1]. The kernel is Q.withDensity (fun x y => α (x, y)) + Kernel.withDensity Kernel.id (fun x _ => ∫⁻ u, (1 - α (x, u)) ∂(Q x)). The measurability hypothesis rules out the junk zero kernel that Kernel.withDensity returns for a non-measurable density.
  • Detailed balance is Kernel.IsReversible. It agrees with the measure identity (2) because rectangles determine a finite measure on E⊗E\mathcal E\otimes\mathcal EE⊗E.
  • (i) and (ii) are almost-everywhere statements for the restrictions of μ\muμ to RcR^cRc and to RRR respectively; neither is required pointwise. Condition (ii) off RRR would be false in general.
  • RRR and rrr are universally quantified in the goal. A formalization that fixes one specific Radon–Nikodym derivative, or drops the everywhere conditions 0<r<∞0<r<\infty0<r<∞, r(x,y)=1/r(y,x)r(x,y)=1/r(y,x)r(x,y)=1/r(y,x), proves a different statement. Proposition 1's existence clause shows that the goal's hypotheses can be met, so the goal is not vacuous. A sorry-free check in the workspace confirms this for Q=πQ=\piQ=π with R=E×ER=E\times ER=E×E, r≡1r\equiv1r≡1.
  • Added hypothesis. The companion item assumes ν\nuν is σ\sigmaσ-finite, which the paper leaves implicit in "ν×ν\nu\times\nuν×ν-almost all".
  • Infrastructure. The definitions IsSymmetricSplit and IsRatioVersion (a symmetric Lebesgue-type decomposition of a measure against its transpose) are reusable for any reversibility argument on product spaces. Lemmas on Measure.map Prod.swap of compProd and withDensity, and on the symmetry of measures carried by the diagonal, are also welcome contributions.

Selected references

  • L. Tierney, A Note on Metropolis–Hastings Kernels for General State Spaces, Ann. Appl. Probab. 8(1) (1998) 1–9. https://doi.org/10.1214/aoap/1027961031
  • N. Metropolis, A. W. Rosenbluth, M. N. Rosenbluth, A. H. Teller, E. Teller, Equation of State Calculations by Fast Computing Machines, J. Chem. Phys. 21 (1953) 1087–1092. https://doi.org/10.1063/1.1699114
  • W. K. Hastings, Monte Carlo Sampling Methods Using Markov Chains and Their Applications, Biometrika 57 (1970) 97–109. https://doi.org/10.1093/biomet/57.1.97
  • L. Tierney, Markov Chains for Exploring Posterior Distributions, Ann. Statist. 22 (1994) 1701–1762. https://doi.org/10.1214/aos/1176325750
  • P. J. Green, Reversible Jump Markov Chain Monte Carlo Computation and Bayesian Model Determination, Biometrika 82 (1995) 711–732. https://doi.org/10.1093/biomet/82.4.711
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Markov-Renewal Programming. II: Infinite Return Models, Example II: Gain and Bias of the Infinite-Step ReturnResearch Paper

Motivation

A Markov-renewal program is a sequential decision model in which a system moves among finitely many states, the time between transitions is random and may depend on both the current and the next state, and a reward accrues during each sojourn. It generalizes the Markov decision process, where every transition takes one time unit, and is the standard model for maintenance, inventory and queueing control problems in which decisions are made at irregular epochs. W. S. Jewell introduced the model in two companion papers in Operations Research in 1963 (Part I, Part II).

Part II studies returns over an unbounded planning horizon. When the horizon is measured in number of transitions and rewards are not discounted, the expected return of a stationary policy grows linearly, and the paper's policy-improvement algorithm for this model rests on the precise form of that growth: a rate, the gain, and a state-dependent offset, the bias. Appendix A of Part II derives this asymptotic form from the Kemeny–Snell theory of finite Markov chains. This mission formalizes that derivation.

The result is the transition-counting counterpart of Howard's gain–bias analysis for Markov decision processes (R. A. Howard, Dynamic Programming and Markov Processes, MIT Press, 1960), and the fundamental matrix it uses is that of J. G. Kemeny and J. L. Snell, Finite Markov Chains, Van Nostrand, 1960.

Setting

Fix a stationary policy. Only the embedded chain and the mean one-step rewards matter for the infinite-step undiscounted model (the paper, p. 961: these processes "depend only on the means"). The data are:

  • a finite nonempty state set SSS and a transition matrix P=(pij)i,j∈SP = (p_{ij})_{i,j\in S}P=(pij​)i,j∈S​ with pij≥0p_{ij}\ge 0pij​≥0 and ∑jpij=1\sum_j p_{ij} = 1∑j​pij​=1;
  • the one-step expected rewards ρ∈RS\rho \in \mathbb R^Sρ∈RS (the paper's (I 17));
  • the terminal rewards V(0)∈RSV(0)\in\mathbb R^SV(0)∈RS.

The chain is ergodic (assumption 2, p. 951): PPP is irreducible, meaning every state can be reached from every other state with positive probability. PPP may be periodic. A stationary probability vector is π∈RS\pi\in\mathbb R^Sπ∈RS with πi≥0\pi_i\ge 0πi​≥0, ∑iπi=1\sum_i\pi_i = 1∑i​πi​=1 and πP=π\pi P = \piπP=π; Π\PiΠ denotes the matrix every row of which is π\piπ.

The nnn-step return of the policy is the recursion (I 16) without the maximization:

Vi(n)=ρi+∑jpijVj(n−1),n=1,2,…V_i(n) = \rho_i + \sum_{j} p_{ij}V_j(n-1),\qquad n = 1,2,\ldotsVi​(n)=ρi​+j∑​pij​Vj​(n−1),n=1,2,…

The system gain is G=∑iπiρiG = \sum_i \pi_i\rho_iG=∑i​πi​ρi​ (A 6), the bias after nnn steps is Wi(n)=Vi(n)−GnW_i(n) = V_i(n) - GnWi​(n)=Vi​(n)−Gn, and the fundamental matrix is Z=(I−P+Π)−1Z = (I - P + \Pi)^{-1}Z=(I−P+Π)−1 (A 7).

Formalization targets

Goal: gain and Cesàro bias of the infinite-step return

For every irreducible row-stochastic PPP, stationary π\piπ, rewards ρ\rhoρ and terminal rewards V(0)V(0)V(0): the matrix I−P+ΠI - P + \PiI−P+Π is invertible, and

lim⁡n→∞1n∑m=1nW(m)=(Z−Π)ρ+ΠV(0).\lim_{n\to\infty}\frac1n\sum_{m=1}^{n} W(m) = (Z - \Pi)\rho + \Pi V(0).n→∞lim​n1​m=1∑n​W(m)=(Z−Π)ρ+ΠV(0).

This is (A 4) with (A 5)–(A 7), in the form that is true for every ergodic chain and every terminal-reward vector.

Milestones

In order: the stationary vector exists, is unique and positive, and 1n∑k<nPk→Π\frac1n\sum_{k<n}P^k\to\Pin1​∑k<n​Pk→Π (Appendix A); the increment identity V(n)−V(n−1)=Pn−1ρV(n)-V(n-1) = P^{n-1}\rhoV(n)−V(n−1)=Pn−1ρ (A 1) for constant V(0)V(0)V(0); the Cesàro limit Πρ=G1\Pi\rho = G\mathbf 1Πρ=G1 of the increments (A 2); invertibility of I−(P−Π)I-(P-\Pi)I−(P−Π) and the relations PZ=ZPPZ = ZPPZ=ZP, πZ=π\pi Z = \piπZ=π, I−Z=Π−PZI - Z = \Pi - PZI−Z=Π−PZ; the Cesàro summability of I+∑j=1n−1(Pj−Π)I+\sum_{j=1}^{n-1}(P^j-\Pi)I+∑j=1n−1​(Pj−Π) to ZZZ; the finite-nnn bias formula (A 3) for constant V(0)V(0)V(0); the relative-value equations Wi+G=ρi+∑jpijWjW_i + G = \rho_i + \sum_j p_{ij}W_jWi​+G=ρi​+∑j​pij​Wj​ (4) for the limiting bias; and the paper's two-state machine example, where the four stationary policies have gains 70,50,80,6070, 50, 80, 6070,50,80,60, the policy (B,A)(B,A)(B,A) is optimal for every nnn with V1(n)=80n+170+(−1)n+1170V_1(n) = 80n+170+(-1)^{n+1}170V1​(n)=80n+170+(−1)n+1170, the limiting biases are ±170\pm170±170, and the relative values of (5) are 340340340 and 000.

Stronger: aperiodic chains

If PPP is moreover primitive (aperiodic), W(n)W(n)W(n) itself converges to (Z−Π)ρ+ΠV(0)(Z-\Pi)\rho + \Pi V(0)(Z−Π)ρ+ΠV(0). This is included as a supporting statement.

Significance

The asymptotic V(n)≈Gn+WV(n)\approx Gn + WV(n)≈Gn+W is what makes average-reward policy improvement work: substituting it into the recursion yields the linear equations (4), whose solution (the relative values) is the test quantity of the paper's algorithm. The gain identifies which stationary policy earns most per transition in the long run, and the bias separates policies of equal gain. The same gain–bias decomposition underlies average-cost dynamic programming, the analysis of Markov reward processes, and the deviation matrix used in sensitivity analysis of Markov chains.

The result is classical and proved on paper. Formalizing it adds, first, a machine-checked account of the fundamental matrix of an irreducible, possibly periodic, finite chain: invertibility of I−P+ΠI - P + \PiI−P+Π, its algebraic relations and its Cesàro characterization. Mathlib has irreducible and primitive nonnegative matrices and row-stochastic matrices, but no stationary-vector uniqueness for irreducible chains, no Cesàro ergodic theorem for finite chains, and no fundamental matrix. Second, it fixes two slips of the printed appendix (below) with an exact statement. No machine-checked proof of this result is known.

Difficulty

The obvious argument writes W(n)=∑k<n(Pk−Π)ρ+PnV(0)W(n) = \sum_{k<n}(P^k - \Pi)\rho + P^nV(0)W(n)=∑k<n​(Pk−Π)ρ+PnV(0) and passes to the limit term by term. This fails for periodic chains: PkP^kPk does not converge, Pk−ΠP^k - \PiPk−Π does not tend to zero, and the series ∑k(Pk−Π)\sum_k (P^k - \Pi)∑k​(Pk−Π) does not converge. The paper's own example (PPP swaps two states) is of this kind, and there W(n)W(n)W(n) oscillates forever. What survives is Cesàro convergence, and establishing it needs control of all eigenvalues of PPP of modulus one (they are simple roots of unity for an irreducible stochastic matrix) or an equivalent combinatorial argument. Invertibility of I−P+ΠI - P + \PiI−P+Π requires that 111 be a simple eigenvalue of PPP with left eigenvector π\piπ, which is the Perron–Frobenius uniqueness statement for irreducible matrices; positivity of all entries of PPP, or a one-step Doeblin condition, is not available.

Formalization scope

States are a finite type with decidable equality and at least one element; vectors are S → ℝ, matrices Matrix S S ℝ, column vectors act by P *ᵥ v, the row vector π\piπ by π ᵥ* P. Ergodicity is P ∈ Matrix.rowStochastic ℝ S ∧ P.IsIrreducible. The stationary vector is a hypothesis-constrained parameter (nonnegative, summing to one, πP=π\pi P = \piπP=π), which is unique by the first milestone. Π\PiΠ, GGG and ZZZ are definitions computed from PPP, π\piπ and ρ\rhoρ, never free variables. Cesàro means are 1n∑m=1n\frac1n\sum_{m=1}^{n}n1​∑m=1n​, equal to 000 at n=0n = 0n=0. Mathlib's matrix inverse is 000 on singular matrices, so the goal asserts invertibility of I−P+ΠI - P + \PiI−P+Π explicitly.

Two printed slips are corrected, and the milestone texts are kept verbatim:

  1. The paper's (A 4)–(A 5) have +V(0)+V(0)+V(0) where iterating (I 16) gives PnV(0)P^nV(0)PnV(0), whose Cesàro limit is ΠV(0)\Pi V(0)ΠV(0). The goal uses ΠV(0)\Pi V(0)ΠV(0); this is also the only form consistent with the paper's equation (4). Accordingly (A 1) and (A 3), which hold exactly when PV(0)=V(0)PV(0) = V(0)PV(0)=V(0), carry the hypothesis that V(0)V(0)V(0) is constant. The paper's example has V(0)=0V(0) = 0V(0)=0, where both readings agree.
  2. The paper writes ordinary limits while noting that Pn−1P^{n-1}Pn−1 "converges or is Cesàro-summable". The goal and (A 2) are Cesàro limits; an ordinary limit is false for periodic chains.

The printed π={π1,…,πn}\pi = \{\pi_1,\ldots,\pi_n\}π={π1​,…,πn​} uses nnn for the number of states NNN.

A trivializing formalization is ruled out: ZZZ is not a junk inverse (invertibility is part of the goal), π\piπ is a genuine stationary probability vector of PPP rather than an arbitrary vector, GGG is computed from π\piπ and ρ\rhoρ, and the hypotheses are met by the paper's periodic two-state example.

Needed infrastructure: stationary vectors of irreducible stochastic matrices (existence, positivity, uniqueness), the Cesàro ergodic theorem 1n∑k<nPk→Π\frac1n\sum_{k<n}P^k\to\Pin1​∑k<n​Pk→Π, and the fundamental matrix. These are reusable for any finite-chain average-reward result. Contributions proving any milestone, or the aperiodic variant, are welcome.

Selected references

  • W. S. Jewell, Markov-Renewal Programming. II: Infinite Return Models, Example, Operations Research 11(6), 949–971, 1963. https://doi.org/10.1287/opre.11.6.949
  • W. S. Jewell, Markov-Renewal Programming. I: Formulation, Finite Return Models, Operations Research 11(6), 938–948, 1963. https://doi.org/10.1287/opre.11.6.938
  • J. G. Kemeny and J. L. Snell, Finite Markov Chains, Van Nostrand, 1960.
  • R. A. Howard, Dynamic Programming and Markov Processes, MIT Press, 1960.
  • E. Seneta, Non-negative Matrices and Markov Chains, 2nd ed., Springer, 2006. https://doi.org/10.1007/0-387-32792-4
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Dynamic ProgrammingOperations ResearchStochastic Systems·Captain: mikedeng1

Markov-Renewal Programming. II: Infinite Return Models, Example I: Policy Iteration Finds a Stationary Policy of Maximal Gain RateResearch Paper

Motivation

Many controlled systems do not move in unit time steps. A machine runs for a random time before it breaks down, a repair takes a random time, a queue sits in a state until the next arrival or departure. A Markov-renewal program (in later terminology a semi-Markov decision process) models such a system: the sequence of visited states is a Markov chain controlled by the decision maker, but each transition takes a random time and earns a reward that may depend on that time. When the horizon is long and rewards are not discounted, the natural criterion is the gain rate, the long-run expected reward per unit of time, not per transition.

Howard's policy-iteration algorithm (Howard 1960) finds a policy of maximal gain per transition for finite Markov decision processes. W. S. Jewell's Markov-Renewal Programming. II (Oper. Res. 11 (1963) 949–971) extends it to the time-average criterion. The paper's Fig. 2 gives the algorithm; pp. 954–955 state its claim: the algorithm "will find an optimal stationary policy for the infinite-time, undiscounted model, in the sense that the policy will have a gain rate, ggg, which is at least as large as that obtained for any other policy". Appendix D compares Jewell's test quantity with an alternative one proposed by P. Schweitzer, and states the identity (D 3) that measures the gain-rate improvement produced by either.

Timeline. Howard (1960) introduced policy iteration for the per-transition gain of finite Markov decision processes, and sketched a semi-Markov version. Jewell (1963, Parts I and II) developed Markov-renewal programming, with the ratio test quantity of Fig. 2 for the undiscounted time-average case. Schweitzer (unpublished MIT report, cited in Appendix D) proposed the test quantity (D 1). The ratio criterion was later treated systematically for semi-Markov decision processes (e.g. Puterman 1994, Ch. 11).

Setting

There are finitely many states i=1,…,Ni = 1, \dots, Ni=1,…,N and, in each state, finitely many alternatives zzz. Under alternative zzz in state iii the next state is jjj with probability pijzp^z_{ij}pijz​ (pijz≥0p^z_{ij} \ge 0pijz​≥0, ∑jpijz=1\sum_j p^z_{ij} = 1∑j​pijz​=1). The transition i→ji \to ji→j takes a random time with finite mean νijz\nu^z_{ij}νijz​, and the transition out of iii earns an expected reward ρiz\rho^z_iρiz​. The mean sojourn time is νiz=∑jpijzνijz\nu^z_i = \sum_j p^z_{ij}\nu^z_{ij}νiz​=∑j​pijz​νijz​, and it is positive.

A stationary policy zzz picks one alternative z(i)z(i)z(i) in each state. Its chain has transition matrix Pijz=pijz(i)P^z_{ij} = p^{z(i)}_{ij}Pijz​=pijz(i)​, and ρi\rho_iρi​, νi\nu_iνi​ denote the data of z(i)z(i)z(i). The paper's standing assumption 2 is that this chain is ergodic (irreducible) for every policy. Let π\piπ be the stationary probability vector of PzP^zPz (πi≥0\pi_i \ge 0πi​≥0, ∑iπi=1\sum_i \pi_i = 1∑i​πi​=1, πPz=π\pi P^z = \piπPz=π). The gain rate of zzz is (B 7):

g=∑i=1Nπiρi∑k=1Nπkνk.g = \frac{\sum_{i=1}^{N} \pi_i \rho_i}{\sum_{k=1}^{N} \pi_k \nu_k}.g=∑k=1N​πk​νk​∑i=1N​πi​ρi​​.

The value-determination equations (13) of zzz are, in the N+1N+1N+1 unknowns g,v1,…,vNg, v_1, \dots, v_Ng,v1​,…,vN​,

vi+g νi=ρi+∑j=1Npijvj(i=1,…,N),vN=0.v_i + g\,\nu_i = \rho_i + \sum_{j=1}^{N} p_{ij} v_j \quad (i = 1, \dots, N), \qquad v_N = 0.vi​+gνi​=ρi​+j=1∑N​pij​vj​(i=1,…,N),vN​=0.

The test quantity of Fig. 2 for alternative zzz in state iii is 1νiz{ρiz+∑jpijzvj−vi}\frac{1}{\nu^z_i}\{\rho^z_i + \sum_j p^z_{ij} v_j - v_i\}νiz​1​{ρiz​+∑j​pijz​vj​−vi​}. One cycle of the algorithm solves (13) for the current policy and then chooses, in every state, an alternative that maximizes the test quantity, retaining the current alternative when it already attains the maximum. The algorithm stops when the policy does not change.

Formalization targets

Goal: Fig. 2 terminates at a policy of maximal gain rate

For every run z0,z1,…z_0, z_1, \dotsz0​,z1​,… of the algorithm, from any initial policy and with any choice among tied maximizers, there is KKK with zK+1=zKz_{K+1} = z_KzK+1​=zK​; and whenever zK+1=zKz_{K+1} = z_KzK+1​=zK​, gKg_KgK​ is the gain rate of zKz_KzK​ and, for every stationary policy z′z'z′,

gz′=∑iπi′ρiz′(i)∑kπk′νkz′(k)  ≤  gK.g^{z'} = \frac{\sum_i \pi'_i \rho^{z'(i)}_i}{\sum_k \pi'_k \nu^{z'(k)}_k} \;\le\; g_K .gz′=∑k​πk′​νkz′(k)​∑i​πi′​ρiz′(i)​​≤gK​.

Milestones

  1. (12)–(13), p. 955. The equations (13) have exactly one solution, and its ggg equals (B 7).
  2. (D 3), p. 970. For policies AAA, BBB, with Γj\Gamma_jΓj​ and γj\gamma_jγj​ the changes in the test quantities (D 1) and (D 2) computed with AAA's (g,v)(g, v)(g,v), and PjB=νjBπjB/∑kπkBνkBP^B_j = \nu^B_j\pi^B_j / \sum_k \pi^B_k\nu^B_kPjB​=νjB​πjB​/∑k​πkB​νkB​ the time-stationary probabilities (C 12),
gB−gA=∑jΓjνjBPjB=∑jγjPjB.g^B - g^A = \sum_{j} \frac{\Gamma_j}{\nu^B_j} P^B_j = \sum_j \gamma_j P^B_j .gB−gA=j∑​νjB​Γj​​PjB​=j∑​γj​PjB​.
  1. p. 955. If the test quantity indicates a change from z1z_1z1​ to z2z_2z2​, then gz2>gz1g^{z_2} > g^{z_1}gz2​>gz1​.
  2. (29)–(30), p. 961. For two states with p12,p21>0p_{12}, p_{21} > 0p12​,p21​>0: g=(p21ρ1+p12ρ2)/(ν1p21+ν2p12)g = (p_{21}\rho_1 + p_{12}\rho_2)/(\nu_1 p_{21} + \nu_2 p_{12})g=(p21​ρ1​+p12​ρ2​)/(ν1​p21​+ν2​p12​) and v1=(ν2ρ1−ν1ρ2)/(ν1p21+ν2p12)v_1 = (\nu_2\rho_1 - \nu_1\rho_2)/(\nu_1 p_{21} + \nu_2 p_{12})v1​=(ν2​ρ1​−ν1​ρ2​)/(ν1​p21​+ν2​p12​), v2=0v_2 = 0v2​=0.

Significance

The result makes the time-average criterion computable: a finite sequence of linear solves and pointwise maximizations produces a policy whose reward per unit time is optimal among all stationary policies. The identity (D 3) is the quantitative content: it expresses the gain-rate change as an average of local improvements, weighted by the fraction of time the new policy spends in each state. Both test quantities, Jewell's (D 2) and Schweitzer's (D 1), are covered by it. When every νiz=1\nu^z_i = 1νiz​=1 the model is a Markov decision process and the algorithm is Howard's.

The result is classical and has textbook proofs for semi-Markov decision processes. The paper states the proof as "elementary" and does not write it out. None of it is machine-checked on Prove2Me, and no semi-Markov or ratio-criterion result is on the platform. The mission produces a checked account of value determination for irreducible finite chains, the improvement identity, and termination of policy iteration under ties.

Difficulty

The gain rate is a ratio, so the per-transition argument for Markov decision processes does not transfer by rescaling rewards: the denominator ∑kπkνk\sum_k\pi_k\nu_k∑k​πk​νk​ changes with the policy. Comparing two policies requires weighting local improvements by the new policy's time-stationary probabilities, and a strict improvement needs those probabilities to be positive in every state, which uses irreducibility of the new policy, not only of the current one. Termination rests on the retain-on-tie rule: without it the algorithm can cycle among tied maximizers without improving. Finally, (13) has N+1N+1N+1 unknowns and N+1N+1N+1 equations only because of the normalization vN=0v_N = 0vN​=0; its unique solvability is a statement about the kernel and range of I−PI - PI−P for an irreducible stochastic PPP.

Formalization scope

States are Fin N with NeZero N; the paper's state NNN is index N−1N-1N−1 (lastState N). Alternatives form a type α; the goal assumes Fintype α and Nonempty α. The model records only pijzp^z_{ij}pijz​, νijz≥0\nu^z_{ij} \ge 0νijz​≥0 and ρiz\rho^z_iρiz​, with νiz>0\nu^z_i > 0νiz​>0 as a field. The transition-time distributions and reward functions of the paper enter the undiscounted infinite-time model only through these means, and every such choice of means is realized by some distributions, so nothing is lost. Ergodicity is Matrix.IsIrreducible of the policy matrix for every policy. Stationary vectors are nonnegative, sum to one and satisfy πP=π\pi P = \piπP=π; every statement quantifies over all of them.

The gain rate is defined by its closed form (B 7). Its identification with lim⁡t→∞vi(t)/t\lim_{t\to\infty} v_i(t)/tlimt→∞​vi​(t)/t ((B 6), argued in Appendix B from renewal theory) is not part of the mission. (13) is stated with the full sum ∑j=1N\sum_{j=1}^N∑j=1N​, equal to the paper's ∑j=1N−1\sum_{j=1}^{N-1}∑j=1N−1​ because vN=0v_N = 0vN​=0. The paper states (D 3) for a policy AAA "which led to an improved policy BBB"; the identity holds for any two policies and is stated that way. A run of the algorithm is a relation, not a chosen argmax: the goal quantifies over every run, so the termination claim cannot be met by a particular tie-breaking. A run begins at an arbitrary policy; the "initial set of returns" entry of Fig. 2 is a run started one cycle later.

A formalization in which the improvement step already asserts optimality, or in which termination is assumed, would be trivial; here the step only asks for pointwise maximization of the test quantity, and termination is part of the conclusion.

Needed infrastructure: stationary vectors of irreducible stochastic matrices (existence, uniqueness, strict positivity), the kernel of I−PI - PI−P, and finite-policy termination arguments. These are reusable for any finite Markov decision or semi-Markov model. Proofs of any milestone, and of the ν≡1\nu \equiv 1ν≡1 specialization, are welcome.

Selected references

  • W. S. Jewell, Markov-Renewal Programming. II: Infinite Return Models, Example, Operations Research 11(6), 949–971, 1963. https://doi.org/10.1287/opre.11.6.949
  • W. S. Jewell, Markov-Renewal Programming. I: Formulation, Finite Return Models, Operations Research 11(6), 938–948, 1963. https://doi.org/10.1287/opre.11.6.938
  • R. A. Howard, Dynamic Programming and Markov Processes, MIT Press, 1960. https://mitpress.mit.edu/9780262080095/
  • M. L. Puterman, Markov Decision Processes: Discrete Stochastic Dynamic Programming, Wiley, 1994. https://doi.org/10.1002/9780470316887
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Operations Research·Captain: naimengye

Fundamentals of Supply Chain Theory X: Supply UncertaintyTextbook

When the supplier is the risk

Every model in the earlier chapters of this series treats demand as the uncertain quantity and supply as given. Chapter 9 of Snyder and Shen's Fundamentals of Supply Chain Theory (2019) reverses the roles: demand is deterministic and the supplier fails. A disruption is a binary event, modeled as a two-state Markov process between up and down periods, during which nothing can be ordered. The chapter's thesis, from Snyder and Shen (2006), is that supply uncertainty is a mirror image of demand uncertainty: the optimal base-stock level has the same critical-fractile form as the newsvendor solution but with the fractile taken over the disruption-length distribution (Tomlin 2006), and consolidation, which pools demand risk, now does nothing to expected cost and multiplies its variance, the risk-diversification effect of Schmitt, Sun, Snyder and Shen (2015). The chapter closes with the reliable fixed-charge location problem of Snyder and Daskin (2005). This mission formalizes the chapter's theorems on disruptions, with the risk-diversification theorem as its goal.

Setting

A supplier that is up is disrupted next period with probability α\alphaα; one that is down recovers with probability β\betaβ. The disruption chain records 000 when the supplier is up and n≥1n \ge 1n≥1 in the nnn-th consecutive period of a disruption; its stationary distribution is π0=β/(α+β)\pi_0 = \beta/(\alpha+\beta)π0​=β/(α+β) and πn=αβα+β(1−β)n−1\pi_n = \frac{\alpha\beta}{\alpha+\beta}(1-\beta)^{n-1}πn​=α+βαβ​(1−β)n−1 (disruptionPmf), with distribution function F(n)=∑i≤nπiF(n) = \sum_{i \le n}\pi_iF(n)=∑i≤n​πi​ (disruptionCdf).

A single location faces demand ddd per period, pays hhh per unit held and ppp per unit backordered per period, and follows a base-stock policy: it orders up to SSS in every up period and nothing in down periods. In the nnn-th period of a disruption it has S−(n+1)dS - (n+1)dS−(n+1)d units on hand or backordered, so its cost is g^(S,n)=h[S−(n+1)d]++p[(n+1)d−S]+\hat g(S, n) = h[S-(n+1)d]^+ + p[(n+1)d - S]^+g^​(S,n)=h[S−(n+1)d]++p[(n+1)d−S]+ (periodCost), and the expected cost per period is g(S)=∑nπng^(S,n)g(S) = \sum_n \pi_n \hat g(S, n)g(S)=∑n​πn​g^​(S,n) (meanCost), with variance V(S)V(S)V(S) over the disruption state (varCost). The critical fractile γ=p/(p+h)\gamma = p/(p+h)γ=p/(p+h) and F−1(γ)F^{-1}(\gamma)F−1(γ), the smallest nnn with F(n)≥γF(n) \ge \gammaF(n)≥γ, determine the optimal level.

In the reliable fixed-charge location problem (RFLP), sites fail independently with probability qqq and each customer is assigned to a chain of facilities: its level-rrr facility serves it when the rrr closer facilities are disrupted, until it is assigned to an emergency facility uuu that never fails and charges the penalty θi\theta_iθi​. The objective (9.61) is fixed cost plus expected transportation cost, with coefficients ψijr=hicijqr(1−q)\psi_{ijr} = h_i c_{ij} q^r (1-q)ψijr​=hi​cij​qr(1−q) (rflpPsi, rflpCost) under the constraints (9.62)-(9.67) (RFLPFeasible).

Formalization targets

Goal: Theorem 9.9

For NNN identical locations and the centralized location formed by merging them (demand NdNdNd):

SC∗=NS∗,gC∗=gD∗=Ng∗,VC∗=NVD∗=N2V∗,S^*_C = NS^*, \qquad g^*_C = g^*_D = Ng^*, \qquad V^*_C = N V^*_D = N^2 V^*,SC∗​=NS∗,gC∗​=gD∗​=Ng∗,VC∗​=NVD∗​=N2V∗,

that is, an optimal single-location level SSS scales to the optimal centralized level NSNSNS, the centralized expected cost at NSNSNS is NNN times the single-location cost, and its variance is N2N^2N2 times the single-location variance. This is risk_diversification.

Supporting targets

Lemma 9.2, the stationary distribution and distribution function of the disruption chain; Lemma 9.4, that the optimal base-stock level is a multiple of ddd; Theorem 9.5, S∗=d+dF−1(p/(p+h))S^* = d + dF^{-1}(p/(p+h))S∗=d+dF−1(p/(p+h)), as the least minimizer of ggg; and Theorem 9.10, that in every optimal RFLP solution consecutive backup assignments are ordered by cost. Theorem 9.3, the optimality of base-stock policies, is cited by the book to Song and Zipkin without a model of the policy space and is not a target; Proposition 9.1 and the multisupplier results of Sect. 9.4 are left for a later mission, as discussed below.

Significance

Theorem 9.5 is the supply-side newsvendor formula: it says exactly how much inventory buys protection against disruptions of a given length, and it underlies the disruption models used in practice for raw-material buffers. Theorem 9.9 is the chapter's central insight and the reason supply and demand uncertainty call for opposite strategies: pooling reduces expected cost under demand uncertainty but only redistributes risk under supply uncertainty, concentrating it. Its three identities are what a risk-averse planner needs to compare the two designs by a mean-variance criterion. Theorem 9.10 is what lets the RFLP be formulated without ordering constraints and solved by Lagrangian relaxation like the UFLP.

None of these results has a machine-checked proof. The book proves Theorem 9.5 and the identities behind Theorem 9.9, sketches Lemma 9.4, and leaves Lemma 9.2 and Theorem 9.10 as exercises. The formal treatment of the piecewise-linear cost ggg and its finite differences is reusable for the yield-uncertainty and multi-supplier models of the same chapter.

Difficulty

The cost ggg is an infinite series whose terms grow linearly in nnn against a geometric weight, so every statement about it begins with summability, and the finite-difference identity Δg(S)=d[(h+p)F(S/d−1)−p]\Delta g(S) = d[(h+p)F(S/d - 1) - p]Δg(S)=d[(h+p)F(S/d−1)−p] requires exchanging a difference with a sum. Theorem 9.5 then needs the convexity and piecewise linearity of ggg to pass from a sign condition on slopes at multiples of ddd to a global minimum over all real SSS, and the identification of the least minimizer needs the slopes to be strictly negative below S∗S^*S∗. The obvious idea, treating the problem as a discrete newsvendor over multiples of ddd, is only half of the argument: it does not by itself exclude non-multiple minimizers, which is what Lemma 9.4 asserts.

Lemma 9.2 is elementary but the stationary equations involve a series over all down states, and the proof must establish summability before manipulating it. Theorem 9.9's scaling identities are termwise, but the optimality transfer in part 1 requires the scaling to preserve minimizers, which follows from the cost identity holding for every SSS.

Theorem 9.10 is an exchange argument on a binary program with layered constraints. The delicate case is the emergency facility: swapping it into a lower level is infeasible, and the correct move is to promote it and drop the later assignment, which changes the constraints for every higher level; the argument must show feasibility of the modified solution level by level.

Formalization scope

The disruption distribution is given by Lemma 9.2's formula rather than defined as the stationary distribution, and Lemma 9.2 shows it satisfies the stationary equations; the theorems assume 0<α≤10 < \alpha \le 10<α≤1 and 0<β≤10 < \beta \le 10<β≤1, under which every series is a geometric series times a polynomial and is summable. The quantity F−1(γ)F^{-1}(\gamma)F−1(γ) enters Theorem 9.5 as a natural number kkk characterized by F(k)≥γF(k) \ge \gammaF(k)≥γ and F(n)<γF(n) < \gammaF(n)<γ for n<kn < kn<k, which exists since F(n)→1>γF(n) \to 1 > \gammaF(n)→1>γ; the conclusion asserts both optimality and leastness of d+dkd + dkd+dk among all real levels.

Theorem 9.9 is stated as the scaling of the single-location functions; the decentralized totals Ng∗Ng^*Ng∗ and NV∗NV^*NV∗ are the mean and variance of a sum of NNN independent copies, which the book asserts rather than derives, and are not modeled separately. In the RFLP, levels are indexed by Fin m, the emergency facility is a designated index uuu whose data satisfy the book's conventions through the hypotheses, and demands are positive with 0<q<10 < q < 10<q<1, both needed: with q=0q = 0q=0 or hi=0h_i = 0hi​=0 backup assignments are free and any order is optimal.

The EOQ with disruptions (Proposition 9.1) is a renewal-reward derivation without a formal model of the renewal process in the book, and the multisupplier newsvendor of Sect. 9.4 (Lemma 9.6, Theorems 9.7 and 9.8) rests on differentiability conditions the book defers to Dada et al. and on a lemma it leaves as an exercise; both are natural extensions on the same definitions rather than targets here.

Selected references

  • L. V. Snyder and Z.-J. M. Shen, Fundamentals of Supply Chain Theory, 2nd ed., Wiley, 2019, Chapter 9. https://doi.org/10.1002/9781119584445
  • B. Tomlin, On the value of mitigation and contingency strategies for managing supply chain disruption risks, Management Science 52(5), 2006. https://doi.org/10.1287/mnsc.1060.0515
  • A. J. Schmitt, S. A. Sun, L. V. Snyder and Z.-J. M. Shen, Centralization versus decentralization: risk pooling, risk diversification, and supply chain disruptions, Omega 52, 2015. https://doi.org/10.1016/j.omega.2014.10.010
  • L. V. Snyder and M. S. Daskin, Reliability models for facility location: the expected failure cost case, Transportation Science 39(3), 2005. https://doi.org/10.1287/trsc.1040.0107
  • L. V. Snyder and Z.-J. M. Shen, Supply and demand uncertainty in multi-echelon supply chains, working paper, 2006. https://doi.org/10.1287/msom.1080.0224
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ProbabilityStochastic Systems·Captain: naimengye

Introduction to Stochastic Networks II: Kolmogorov's Criterion for ReversibilityTextbook

Motivation

A Markov process is reversible when, in equilibrium, transitions from xxx to yyy occur at the same average rate as transitions from yyy to xxx. Algebraically this is the detailed balance condition π(x)q(x,y)=π(y)q(y,x)\pi(x)q(x,y)=\pi(y)q(y,x)π(x)q(x,y)=π(y)q(y,x), and it is the single most useful structural property a network process can have: it replaces a global linear system by one equation per pair of states, and it hands you the equilibrium measure as a product of rate ratios rather than as the solution of anything.

The catch is that detailed balance mentions π\piπ, which is exactly what one is trying to find. Chapter 2 of Richard Serfozo's Introduction to Stochastic Networks (Springer, 1999) removes the circularity. Kolmogorov's criterion characterizes reversibility by a condition on the rates alone: around every closed path, the product of the forward rates equals the product of the backward rates. And the proof is constructive — once the criterion holds, the invariant measure is

π(x)=∏i=1nq(xi−1,xi)q(xi,xi−1)\pi(x)=\prod_{i=1}^{n}\frac{q(x_{i-1},x_i)}{q(x_i,x_{i-1})}π(x)=i=1∏n​q(xi​,xi−1​)q(xi−1​,xi​)​

along any path from a fixed origin x0x^0x0 to xxx, the criterion being precisely what makes the answer independent of the path chosen.

Setting

q(x,y)q(x,y)q(x,y) is a non-negative rate function on a state space E\mathbb EE, with the two-way communication property that q(x,y)q(x,y)q(x,y) and q(y,x)q(y,x)q(y,x) are positive together — a process failing this is visibly not reversible, since some transition would be possible but its reverse would not. A path x0,…,xnx_0,\dots,x_nx0​,…,xn​ is a sequence with q(xi−1,xi)>0q(x_{i-1},x_i)>0q(xi−1​,xi​)>0 throughout, and qqq is assumed irreducible: every state is reachable from every other along a path. Write ρ(x,y)=q(x,y)/q(y,x)\rho(x,y)=q(x,y)/q(y,x)ρ(x,y)=q(x,y)/q(y,x) for the rate ratio.

qqq is reversible when some positive π\piπ satisfies the detailed balance equations. Such a π\piπ is automatically an invariant measure, the total balance equations being the sum of the detailed ones.

Formalization targets

Goal — Theorem 2.8, Kolmogorov's criterion and the canonical measure

Three statements are equivalent:

  1. qqq is reversible;
  2. (Kolmogorov's criterion) for every closed sequence x0,…,xn=x0x_0,\dots,x_n=x_0x0​,…,xn​=x0​,
∏i=1nq(xi−1,xi)=∏i=1nq(xi,xi−1);\prod_{i=1}^{n}q(x_{i-1},x_i)=\prod_{i=1}^{n}q(x_i,x_{i-1});i=1∏n​q(xi−1​,xi​)=i=1∏n​q(xi​,xi−1​);
  1. for every path, ∏i=1nρ(xi−1,xi)\prod_{i=1}^n\rho(x_{i-1},x_i)∏i=1n​ρ(xi−1​,xi​) depends on the path only through its endpoints.

And when they hold, fixing any origin x0x^0x0 there is a positive π\piπ with π(x0)=1\pi(x^0)=1π(x0)=1 satisfying detailed balance and given at every state by the product of ratios along any path from x0x^0x0.

Supporting levels

The canonical form (2.2), that qqq is reversible with respect to π\piπ exactly when q(x,y)=γ(x,y)/π(x)q(x,y)=\gamma(x,y)/\pi(x)q(x,y)=γ(x,y)/π(x) for a symmetric non-negative γ\gammaγ; Example 2.1, the birth–death process with π(x)=∏n=1xλ(n−1)/μ(n)\pi(x)=\prod_{n=1}^{x}\lambda(n-1)/\mu(n)π(x)=∏n=1x​λ(n−1)/μ(n); Theorem 2.2, that a process whose communication graph is a tree is reversible; and Theorem 2.5, the time-reversal criterion, which identifies a stationary distribution from a candidate reversed rate function without mentioning reversibility at all.

Significance

The results themselves. Kolmogorov's criterion is the working test. It is how one checks that a birth–death process, a random walk on a tree, a reversible Jackson network or a Whittle network with reversible routing is reversible, and it is a finite check on cycles rather than a search for an unknown measure. The ratio form (iii) is what gets used in practice: it says the product of ratios along a path is a well-defined function of the endpoints, which is exactly what licenses defining π\piπ by that product.

Theorem 2.2 is the structural special case with no computation at all — a tree has no cycles, so the criterion is vacuous and reversibility is automatic. Theorem 2.5 points in a different direction: it identifies a stationary distribution from a guess at the time-reversed rates, and it is the tool Serfozo uses later to prove the Whittle equilibrium theorem a second way and to establish that departure processes from networks are Poisson.

Formalizing them. Mathlib has no reversibility theory for Markov processes: no detailed balance, no Kolmogorov criterion, no time reversal of a rate function. It has SimpleGraph.IsTree, which the tree item uses, and nothing else that bears on this chapter. The whole apparatus is contributed here.

Difficulty

The goal is a genuine equivalence with a constructive core, and the three implications are of quite different character.

(i) ⇒\Rightarrow⇒ (ii) is the easy one: multiply the detailed balance equations around the closed path and cancel the π\piπ's, which is legitimate because the π\piπ values are positive. Note the criterion is asserted for arbitrary closed sequences, not only for paths; the two-way property is what makes both sides vanish together when some rate is zero.

(ii) ⇔\Leftrightarrow⇔ (iii) is a cycle-splicing argument: two paths with the same endpoints concatenate, one reversed, into a closed path, and the criterion says its forward and backward products agree, which is the equality of ratio products.

(ii) ⇒\Rightarrow⇒ (i) is where the construction lives. Fix an origin x0x^0x0; irreducibility gives a path to every state; define π\piπ by the ratio product; (iii) makes it well defined; and then detailed balance at an edge follows by extending a path by that edge. Serfozo's Remark 2.9 gives the same construction as a recursion over the sets En\mathbb E_nEn​ of states reachable in nnn steps, which may be the easier route to organize.

The birth–death item is a telescoping recursion, π(x+1)μ(x+1)=π(x)λ(x)\pi(x+1)\mu(x+1)=\pi(x)\lambda(x)π(x+1)μ(x+1)=π(x)λ(x), and the observation that the two families of detailed balance equations — for y=x+1y=x+1y=x+1 and for y=x−1y=x-1y=x−1 — are the same family. Theorem 2.2 is a cut argument: removing an edge of a tree splits the state space into two pieces joined by that edge alone, so the flow balance across the cut is the detailed balance equation for that edge. Theorem 2.5 is two lines of rearrangement once the sums are known to converge.

Formalization scope

The state space is an arbitrary type and qqq is an arbitrary non-negative real rate function; nothing here needs a process, a measure space or even countability, because reversibility as Serfozo defines it "applies to any nonnegative rates or probabilities as an algebraic property, not necessarily associated with a stochastic process". The same statements therefore cover discrete-time chains with qqq read as transition probabilities, which is what the book points out.

Paths are functions {0,…,n}→E\{0,\dots,n\}\to\mathbb E{0,…,n}→E with positive consecutive rates. A path of length zero is a single state and its ratio product is the empty product 111, which is consistent with π(x0)=1\pi(x^0)=1π(x0)=1.

Kolmogorov's criterion is stated for arbitrary closed sequences, exactly as the book states it, not only for closed paths. Under two-way communication the two readings agree — if one rate in the sequence vanishes then so does its reverse and both products are zero — but the book's form is the one that is directly checkable.

The canonical measure is not defined by a choice function. Instead the conclusion asserts the existence of a positive π\piπ with π(x0)=1\pi(x^0)=1π(x0)=1 satisfying detailed balance and agreeing with the ratio product along every path from the origin. That is the content of (2.9) without needing to pick a path for each state.

Theorem 2.2 is stated for a finite state space. Serfozo assumes the process is ergodic, and the cut-flow argument then sums the balance equations over one side of the cut; on an infinite state space that summation needs an integrability condition that the book leaves implicit in "ergodic". Finiteness makes the rearrangement unconditional and the statement clearly true; the general case is listed under contributions.

Theorem 2.5 is stated as the conclusion that π\piπ satisfies the balance equations, with explicit summability hypotheses for the three families of sums involved. That π\piπ is the stationary distribution additionally requires it to be normalized and the process to be ergodic, neither of which is part of the algebraic content.

Contributions welcome beyond the listed items: Theorem 2.4, the characterization of reversibility by invariance of the finite-dimensional distributions under time reversal; Remark 2.9's recursive construction of the canonical measure; Theorem 2.22 on reversible network processes with batch movements; Theorem 2.31 and the partition-reversible processes of Sections 2.8 and 2.9; and the reversibility criteria for Jackson and Whittle networks in Examples 2.24 and 2.25.

Selected references

  • Richard Serfozo, Introduction to Stochastic Networks, Applications of Mathematics 44, Springer, 1999, chapter 2, pp. 44–51; (2.1), (2.2), Example 2.1, Theorems 2.2, 2.5 and 2.8, Remark 2.9. DOI 10.1007/978-1-4612-1482-3
  • A. N. Kolmogoroff, Zur Theorie der Markoffschen Ketten, Mathematische Annalen 112 (1936), 155–160. DOI 10.1007/BF01565412
  • F. P. Kelly, Reversibility and Stochastic Networks, Wiley, 1979; reissued Cambridge University Press, 2011, chapter 1. DOI 10.1017/CBO9781139226424
  • P. Whittle, Systems in Stochastic Equilibrium, Wiley, 1986, chapters 1 and 10.
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ProbabilityStochastic Systems·Captain: naimengye

Probability Theory and Examples III: The Markov Chain Convergence TheoremTextbook

Motivation

A Markov chain forgets. Run it long enough and the distribution of its position stops depending on where it started — that is the intuition behind shuffling a deck, behind Markov chain Monte Carlo, behind PageRank, and behind the stationary analyses of every queueing model. Chapter 5 of Rick Durrett's Probability: Theory and Examples (Version 5, 2019) makes it a theorem, and identifies exactly what can go wrong.

Two things can. The chain may fail to reach parts of the state space, and the answer is irreducibility. Or it may reach them only on a lattice of times — a chain alternating between two halves of its state space never forgets whether the clock is even or odd — and the answer is aperiodicity. Theorem 5.6.6 says that is the complete list: an irreducible, aperiodic chain with a stationary distribution has pn(x,y)→π(y)p^n(x,y)\to\pi(y)pn(x,y)→π(y), for every pair of states, whatever the starting point.

Setting

Let SSS be a countable state space and p(x,y)p(x,y)p(x,y) a transition probability: non-negative, with each row summing to one. The nnn-step transition probabilities are the matrix powers, p0(x,y)=δxyp^0(x,y)=\delta_{xy}p0(x,y)=δxy​ and pn+1(x,y)=∑zp(x,z)pn(z,y)p^{n+1}(x,y)=\sum_z p(x,z)p^n(z,y)pn+1(x,y)=∑z​p(x,z)pn(z,y).

Hitting is described by the first-passage probabilities fn(x,y)=Px(Ty=n)f^n(x,y)=\mathbb{P}_x(T_y=n)fn(x,y)=Px​(Ty​=n), given by f1(x,y)=p(x,y)f^1(x,y)=p(x,y)f1(x,y)=p(x,y) and fn+1(x,y)=∑z≠yp(x,z)fn(z,y)f^{n+1}(x,y)=\sum_{z\ne y}p(x,z)f^n(z,y)fn+1(x,y)=∑z=y​p(x,z)fn(z,y) — the chain moves once and then reaches yyy for the first time, having avoided it meanwhile. Summing them gives

ρxy=Px(Ty<∞)=∑n≥1fn(x,y),EyTy=∑n≥1n fn(y,y).\rho_{xy}=\mathbb{P}_x(T_y<\infty)=\sum_{n\ge1}f^n(x,y),\qquad \mathbb{E}_yT_y=\sum_{n\ge1}n\,f^n(y,y).ρxy​=Px​(Ty​<∞)=n≥1∑​fn(x,y),Ey​Ty​=n≥1∑​nfn(y,y).

A state is recurrent when ρyy=1\rho_{yy}=1ρyy​=1, the chain is irreducible when ρxy>0\rho_{xy}>0ρxy​>0 for all x,yx,yx,y, and a state xxx is aperiodic when the greatest common divisor of Ix={n≥1:pn(x,x)>0}I_x=\{n\ge1:p^n(x,x)>0\}Ix​={n≥1:pn(x,x)>0} is 111. A stationary distribution is a probability vector π\piπ with ∑xπ(x)p(x,y)=π(y)\sum_x\pi(x)p(x,y)=\pi(y)∑x​π(x)p(x,y)=π(y).

Formalization targets

Goal — Theorem 5.6.6, the convergence theorem

p irreducible, aperiodic, with stationary distribution π⟹pn(x,y)⟶π(y)  for all x,y.p \text{ irreducible},\ \text{aperiodic},\ \text{with stationary distribution } \pi \quad\Longrightarrow\quad p^n(x,y)\longrightarrow\pi(y)\ \text{ for all } x,y .p irreducible, aperiodic, with stationary distribution π⟹pn(x,y)⟶π(y)  for all x,y.

The goal asserts pointwise convergence of the transition probabilities, not convergence in total variation and not a rate; those are strengthenings, and stating the weakest useful form is what keeps the theorem stable.

Supporting levels

Theorem 5.3.1, that a state is recurrent exactly when ∑npn(y,y)\sum_n p^n(y,y)∑n​pn(y,y) diverges — the bridge between the hitting picture and the matrix picture; Theorem 5.3.2, that recurrence is contagious; Theorem 5.5.10, that every state in the support of a stationary distribution is recurrent; and Theorem 5.5.11, that for an irreducible chain with a stationary distribution π(x)=1/ExTx\pi(x)=1/\mathbb{E}_xT_xπ(x)=1/Ex​Tx​.

Significance

The result itself. Theorem 5.6.6 is what licenses reading a stationary distribution as a long-run frequency. Without it, π\piπ is merely a fixed point of a linear map; with it, π(y)\pi(y)π(y) is the limiting probability of being at yyy, from any start. Theorem 5.5.11 then gives the quantity a second, purely local meaning — π(x)\pi(x)π(x) is the reciprocal of the mean return time to xxx — which is the identity behind every renewal-reward computation in applied probability and behind the "expected time between visits" estimates that Monte Carlo methods rely on. The two necessary hypotheses are sharp: a periodic chain has pn(x,y)p^n(x,y)pn(x,y) oscillating rather than converging, and Durrett's Theorem 5.7.2 gives the corrected statement in that case.

Formalizing it. Mathlib has no countable-state Markov chain theory. It has ProbabilityTheory.Kernel and an Irreducible notion for kernels, but nothing about recurrence, transience, first-passage decompositions, stationary measures or the convergence theorem, and nothing that specializes to a transition matrix on a countable set. The mission therefore contributes the whole apparatus of sections 5.3, 5.5 and 5.6 — the nnn-step and first-passage probabilities, ρxy\rho_{xy}ρxy​, the mean return time, recurrence, irreducibility, aperiodicity and stationarity — together with the results that make it usable.

Difficulty

The usual proof of the goal is a coupling argument, and it is short but not obvious: run two independent copies of the chain, one from xxx and one from π\piπ, on the product space S×SS\times SS×S with transition probability pˉ((x1,x2),(y1,y2))=p(x1,y1)p(x2,y2)\bar p((x_1,x_2),(y_1,y_2))=p(x_1,y_1)p(x_2,y_2)pˉ​((x1​,x2​),(y1​,y2​))=p(x1​,y1​)p(x2​,y2​); aperiodicity plus irreducibility make the product chain irreducible, π×π\pi\times\piπ×π is stationary for it, so it is recurrent and the two copies meet almost surely; after they meet they can be exchanged. Each step of that is a separate obligation, and the one that consumes aperiodicity is the irreducibility of the product chain — for a periodic chain it fails, which is exactly why the theorem does.

The number-theoretic ingredient is worth flagging: irreducibility of the product needs that Ix={n:pn(x,x)>0}I_x=\{n:p^n(x,x)>0\}Ix​={n:pn(x,x)>0}, being closed under addition with gcd⁡1\gcd 1gcd1, contains every sufficiently large integer. That is the numerical semigroup fact, and it is where aperiodicity is actually used.

Formalization scope

The state space is any countable type with decidable equality, and the transition probability is a plain function S×S→RS\times S\to\mathbb{R}S×S→R constrained by IsTransition: non-negative entries, summable rows, rows summing to one. Sums over the state space are unconditional sums, so no finiteness is assumed anywhere.

The chain's law is not constructed. Every quantity here — pnp^npn, fnf^nfn, ρxy\rho_{xy}ρxy​, EyTy\mathbb{E}_yT_yEy​Ty​ — is defined by an explicit recursion on the transition matrix, not as an expectation against a measure on path space. This is a deliberate choice: building the path measure is a substantial project of its own, and none of the statements in these sections need it. The recursions are the standard ones and they are the definitions the book's own computations use. The cost is that probabilistic statements about paths, such as Theorem 5.6.1 on the almost-sure limit of the visit counts Nn(y)/nN_n(y)/nNn​(y)/n, cannot be phrased in this language and are not part of the mission.

Conventions: p0p^0p0 is the identity matrix; fnf^nfn vanishes at n=0n=0n=0; ρxy\rho_{xy}ρxy​ and EyTy\mathbb{E}_yT_yEy​Ty​ are unconditional sums over n≥1n\ge1n≥1, so an infinite mean return time appears as a non-summable series rather than as an extended real. Theorem 5.5.11 is therefore stated as summability together with π(x)⋅ExTx=1\pi(x)\cdot\mathbb{E}_xT_x=1π(x)⋅Ex​Tx​=1, which asserts finiteness of the mean return time rather than silently relying on a division convention.

Aperiodicity is "the only natural number dividing every element of IxI_xIx​ is 111", which is gcd⁡Ix=1\gcd I_x=1gcdIx​=1 written without needing a gcd of a set; it is false when IxI_xIx​ is empty, which is correct, since the period of such a state is undefined.

The goal is not vacuous: the hypotheses are satisfiable by any strictly positive transition matrix on a finite set.

Contributions welcome beyond the listed items: Theorem 5.3.3 on finite closed sets; the decomposition theorem 5.3.5; existence of a stationary measure from a recurrent state (5.5.7) and its uniqueness (5.5.9); the equivalence of positive recurrence and the existence of a stationary distribution (5.5.12); Theorem 5.7.2 for the periodic case; and the path-level results of section 5.6, which need the chain's law on path space.

Selected references

  • Rick Durrett, Probability: Theory and Examples, Version 5 (11 January 2019), chapter 5, sections 5.3, 5.5 and 5.6 (pp. 281–320); Theorems 5.3.1, 5.3.2, 5.5.10, 5.5.11, 5.6.6. Published as the 5th edition, Cambridge University Press, 2019, DOI 10.1017/9781108591034
  • J. R. Norris, Markov Chains, Cambridge University Press, 1998, chapter 1. DOI 10.1017/CBO9780511810633
  • D. A. Levin and Y. Peres, Markov Chains and Mixing Times, 2nd ed., American Mathematical Society, 2017. DOI 10.1090/mbk/107
  • W. Doeblin, Exposé de la théorie des chaînes simples constantes de Markoff à un nombre fini d'états, Revue Mathématique de l'Union Interbalkanique 2 (1938), 77–105.
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Operations ResearchStochastic Systems·Captain: naimengye

Stochastic Networks II: Migration Processes and Product FormTextbook

Motivation

A queueing network is a collection of service stations through which customers — jobs, packets, telephone calls, patients — move one at a time. The state of such a network is a vector of occupancy counts, one per station, and the number of states grows exponentially in the number of stations, so solving the equilibrium equations directly is hopeless for any network worth modelling. The product form is what rescues the subject: for a large and identifiable class of networks the equilibrium distribution factorizes into one term per station, as if the stations were independent, and a network of JJJ stations costs JJJ one-dimensional calculations instead of one exponentially large one.

Chapter 2 of Frank Kelly and Elena Yudovina's Stochastic Networks (Cambridge University Press, 2014) establishes this for migration processes, the Markov model in which individuals move between colonies one at a time at a rate that factorizes as λjkφj(nj)\lambda_{jk}\varphi_j(n_j)λjk​φj​(nj​): a part depending only on the two colonies and a part depending only on the occupancy of the source. The class covers single-server and sss-server queues, infinite-server queues, and networks of them, open or closed.

Setting

There are JJJ colonies, and a state is a vector n=(n1,…,nJ)n = (n_1,\dots,n_J)n=(n1​,…,nJ​) of non-negative integers, njn_jnj​ being the number of individuals in colony jjj. Three operators move one individual:

Tjkn  moves one from j to k,Tj→n  removes one from j,T→kn  adds one to k.T^{jk}n \ \text{ moves one from } j \text{ to } k, \qquad T^{j\to}n \ \text{ removes one from } j, \qquad T^{\to k}n \ \text{ adds one to } k .Tjkn  moves one from j to k,Tj→n  removes one from j,T→kn  adds one to k.

An open migration process is the Markov process on Z+J\mathbb{Z}_+^JZ+J​ with transition rates

q(n,Tjkn)=λjkφj(nj),q(n,Tj→n)=μjφj(nj),q(n,T→kn)=νk,q(n, T^{jk}n)=\lambda_{jk}\varphi_j(n_j), \qquad q(n, T^{j\to}n)=\mu_j\varphi_j(n_j), \qquad q(n, T^{\to k}n)=\nu_k ,q(n,Tjkn)=λjk​φj​(nj​),q(n,Tj→n)=μj​φj​(nj​),q(n,T→kn)=νk​,

where φj(0)=0\varphi_j(0)=0φj​(0)=0: nothing leaves an empty colony. Immigration into colony kkk is Poisson of rate νk\nu_kνk​. Taking μ≡0\mu\equiv 0μ≡0 and ν≡0\nu\equiv 0ν≡0 and restricting to states of a fixed total ∑jnj=N\sum_j n_j = N∑j​nj​=N gives a closed migration process. Setting φj(n)=min⁡(n,s)\varphi_j(n)=\min(n,s)φj​(n)=min(n,s) models an sss-server queue at colony jjj; φj(n)=n\varphi_j(n)=nφj​(n)=n models individuals moving independently.

The traffic equations define (αj)(\alpha_j)(αj​) from the rates. In the open case they are

αj(μj+∑kλjk)  =  νj+∑kαkλkj,j=1,…,J,\alpha_j\Bigl(\mu_j+\sum_k \lambda_{jk}\Bigr) \;=\; \nu_j+\sum_k \alpha_k\lambda_{kj}, \qquad j = 1,\dots,J,αj​(μj​+k∑​λjk​)=νj​+k∑​αk​λkj​,j=1,…,J,

and in the closed case αj∑kλjk=∑kαkλkj\alpha_j\sum_k \lambda_{jk}=\sum_k \alpha_k\lambda_{kj}αj​∑k​λjk​=∑k​αk​λkj​ with αj>0\alpha_j>0αj​>0 and ∑jαj=1\sum_j\alpha_j=1∑j​αj​=1. Finally set

gj=∑n=0∞αj n∏r=1nφj(r).g_j=\sum_{n=0}^{\infty}\frac{\alpha_j^{\,n}}{\prod_{r=1}^{n}\varphi_j(r)} .gj​=n=0∑∞​∏r=1n​φj​(r)αjn​​.

Formalization targets

Goal — Theorem 2.8, the product form of an open migration process

If g1,…,gJ<∞g_1,\dots,g_J<\inftyg1​,…,gJ​<∞ then

π(n)=∏j=1Jπj(nj),πj(m)=gj−1 αj m∏r=1mφj(r)\pi(n)=\prod_{j=1}^{J}\pi_j(n_j), \qquad \pi_j(m)=g_j^{-1}\,\frac{\alpha_j^{\,m}}{\prod_{r=1}^{m}\varphi_j(r)}π(n)=j=1∏J​πj​(nj​),πj​(m)=gj−1​∏r=1m​φj​(r)αjm​​

is an equilibrium distribution: it satisfies the equilibrium equations for the open migration rates, and it sums to one over Z+J\mathbb{Z}_+^JZ+J​. Both halves are asserted, because the first alone is satisfied by every positive multiple of π\piπ and the second is what makes the convergence hypothesis gj<∞g_j<\inftygj​<∞ do work.

Supporting levels

The closed-network product form of Theorem 2.4; the two families of partial balance equations (2.3) and (2.4) that the proof reduces to; Theorem 2.9, that the time reversal of a stationary open migration process is again an open migration process with rates λjk′=αkλkj/αj\lambda'_{jk}=\alpha_k\lambda_{kj}/\alpha_jλjk′​=αk​λkj​/αj​, μj′=νj/αj\mu'_j=\nu_j/\alpha_jμj′​=νj​/αj​ and νk′=αkμk\nu'_k=\alpha_k\mu_kνk′​=αk​μk​; the single M/M/1 queue that the chapter starts from; the cycle identity (2.6) behind Little's law; and the traffic equations of Kendall's family-size process, an open migration process with infinitely many colonies.

Significance

The result itself. Theorem 2.8 says that at a fixed time the occupancies n1,…,nJn_1,\dots,n_Jn1​,…,nJ​ of an open migration network are independent, each distributed as if its colony were fed by a Poisson stream of rate αjλj\alpha_j\lambda_jαj​λj​ — even though the actual arrival stream into a colony is in general not Poisson, and the occupancies are emphatically not independent as processes. That gap between the one-time-marginal and the process is the reason the theorem is useful and the reason it is easy to misapply. Everything downstream in the book rests on it: the loss networks of Chapter 3 are the truncation of a product-form process to a capacity set, and the flow-level models of Chapter 8 ask when a product form survives a bandwidth-sharing policy. Theorem 2.9 supplies the reversibility argument from which Burke's theorem and the Poisson character of the exit streams follow.

Formalizing it. The mathematics is classical — Jackson (1957), Whittle (1968), Kelly (1979) — and none of it is open. What the mission produces is a machine-checked model of a queueing network: the migration operators, the rate matrix, the traffic equations and the product form, in a form later missions in this series import rather than restate. Mathlib has no queueing theory and no theory of continuous-time Markov chains on a countable state space, so this is the first such development. It builds on the DetailedBalance / FullBalance layer published in mission I.

Difficulty

An open migration process is not reversible — the detailed balance equations fail, as Figure 2.5 of the book shows with an arrival stream of geometrically sized bursts — so the method of Chapter 1 does not apply and the equilibrium equations must be met head on. The content of the proof is that they split: a separate balance holds for each colony jjj (rate of individuals leaving colony jjj equals rate arriving into it) and one more across the boundary with the outside world, and each of those is equivalent to a traffic equation. Finding that split is the step, and it is why the partial balance equations are milestones in their own right.

The formal obstacle is different and worth naming. The equilibrium equation at a state nnn sums over the states that can jump into nnn, and the naive transcription ∑j,kπ(Tjkn)q(Tjkn,n)\sum_{j,k}\pi(T^{jk}n)q(T^{jk}n,n)∑j,k​π(Tjkn)q(Tjkn,n) silently assumes TjknT^{jk}nTjkn is a state, which fails when nj=0n_j=0nj​=0. Over Z+J\mathbb{Z}_+^JZ+J​ such a term must be dropped, and a formalization that keeps it — with nj−1n_j-1nj​−1 read as truncated subtraction — states something false.

Formalization scope

The state space is Fin J → ℕ, a function from a finite index type of colonies to occupancy counts, with J finite; no irreducibility is assumed, since none of the statements below need it. Rates are real-valued and the whole rate matrix is a single function of two states, assembled as a sum of indicator terms over the possible transitions, so the equilibrium equations can be stated as the FullBalance predicate of mission I, with unconditional sums over the countable state space. This is what avoids the trap above: a sum over actual states never includes a would-be-negative one, and any spurious coincidence of operators at a boundary carries a φj(0)=0\varphi_j(0)=0φj​(0)=0 factor and contributes nothing.

Conventions the development commits to: λjj=0\lambda_{jj}=0λjj​=0, so a transfer is always between distinct colonies; φj(0)=0\varphi_j(0)=0φj​(0)=0 and φj(r)>0\varphi_j(r)>0φj​(r)>0 for r≥1r\ge 1r≥1; αj>0\alpha_j>0αj​>0; and gjg_jgj​ is asserted via HasSum, which states convergence and the value at once, rather than as an extended real that might be infinite. Occupancy vectors use truncated natural subtraction, so the partial balance and reversed-rate statements carry an explicit nj≥1n_j\ge 1nj​≥1 where the book's state space carries it implicitly; the goal itself does not need such a guard.

A trivializing formalization is ruled out by the second conjunct of the goal: the equilibrium equations alone are a homogeneous linear condition satisfied by π≡0\pi\equiv 0π≡0, whereas the requirement that π\piπ sum to 111 forces the constants gjg_jgj​ to be exactly the ones stated.

Contributions welcome beyond the listed items: Burke's theorem (2.1) and the Poisson character of the exit streams, Corollary 2.10, the closed-form of the telephone banking example (Exercise 2.6), the Chinese restaurant process of Exercise 2.13, and Bartlett's theorem (2.17) on linear migration processes over a general space.

Selected references

  • Frank Kelly and Elena Yudovina, Stochastic Networks, Cambridge University Press, 2014, Chapter 2 (pp. 22–48); Theorems 2.4, 2.8, 2.9, 2.13, equations (2.1)–(2.6). DOI 10.1017/cbo9781139565363
  • James R. Jackson, Networks of waiting lines, Operations Research 5 (1957), 518–521. DOI 10.1287/opre.5.4.518
  • P. Whittle, Equilibrium distributions for an open migration process, Journal of Applied Probability 5 (1968), 567–571. DOI 10.2307/3211921
  • Frank Kelly, Reversibility and Stochastic Networks, Cambridge University Press, 2011 (reissue of the 1979 edition), Chapters 2 and 3.
  • David G. Kendall, Some problems in mathematical genealogy, in Perspectives in Probability and Statistics (J. Gani, ed.), Academic Press, 1975, 325–345.
  • John D. C. Little, A proof for the queuing formula: L=λWL = \lambda WL=λW, Operations Research 9 (1961), 383–387. DOI 10.1287/opre.9.3.383
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