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Characterisation of gradient flows on finite state Markov chains

dc.creatorDietert, Helge
dc.date.accessioned2018-11-24T23:26:24Z
dc.date.available2015-05-27T09:05:20Z
dc.date.available2018-11-24T23:26:24Z
dc.date.issued2015-03-29
dc.identifierhttps://www.repository.cam.ac.uk/handle/1810/248009
dc.identifier.urihttp://repository.aust.edu.ng/xmlui/handle/123456789/3820
dc.description.abstractIn his 2011 work, Maas has shown that the law of any time-reversible continuoustime Markov chain with finite state space evolves like a gradient flow of the relative entropy with respect to its stationary distribution. In this work we show the converse to the above by showing that if the relative law of a Markov chain with finite state space evolves like a gradient flow of the relative entropy functional, it must be timereversible. When we allow general functionals in place of the relative entropy, we show that the law of a Markov chain evolves as gradient flow if and only if the generator of the Markov chain is real diagonalisable. Finally, we discuss what aspects of the functional are uniquely determined by the Markov chain.
dc.languageen
dc.publisherInstitute of Mathematical Statistics
dc.publisherElectronic Communications in Probability
dc.rightshttp://creativecommons.org/licenses/by/2.0/uk/
dc.rightsAttribution 2.0 UK: England & Wales
dc.subjectGradient flows
dc.subjectFinite state Markov chains
dc.subjectTime-reversibility
dc.titleCharacterisation of gradient flows on finite state Markov chains
dc.typeArticle


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