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Computing the Stationary Distribution Locally
Christina Lee · Asuman Ozdaglar · Devavrat Shah

Thu Dec 05 07:00 PM -- 11:59 PM (PST) @ Harrah's Special Events Center, 2nd Floor
Computing the stationary distribution of a large finite or countably infinite state space Markov Chain (MC) has become central in many problems such as statistical inference and network analysis. Standard methods involve large matrix multiplications as in power iteration, or simulations of long random walks to sample states from the stationary distribution, as in Markov Chain Monte Carlo (MCMC). However these methods are computationally costly; either they involve operations at every state or they scale (in computation time) at least linearly in the size of the state space. In this paper, we provide a novel algorithm that answers whether a chosen state in a MC has stationary probability larger than some $\Delta \in (0,1)$. If so, it estimates the stationary probability. Our algorithm uses information from a local neighborhood of the state on the graph induced by the MC, which has constant size relative to the state space. We provide correctness and convergence guarantees that depend on the algorithm parameters and mixing properties of the MC. Simulation results show MCs for which this method gives tight estimates.

Author Information

Christina Lee (Cornell University)
Asuman Ozdaglar (Massachusetts Institute of Technology)

Asu Ozdaglar received the B.S. degree in electrical engineering from the Middle East Technical University, Ankara, Turkey, in 1996, and the S.M. and the Ph.D. degrees in electrical engineering and computer science from the Massachusetts Institute of Technology, Cambridge, in 1998 and 2003, respectively. She is currently a professor in the Electrical Engineering and Computer Science Department at the Massachusetts Institute of Technology. She is also the director of the Laboratory for Information and Decision Systems. Her research expertise includes optimization theory, with emphasis on nonlinear programming and convex analysis, game theory, with applications in communication, social, and economic networks, distributed optimization and control, and network analysis with special emphasis on contagious processes, systemic risk and dynamic control. Professor Ozdaglar is the recipient of a Microsoft fellowship, the MIT Graduate Student Council Teaching award, the NSF Career award, the 2008 Donald P. Eckman award of the American Automatic Control Council, the Class of 1943 Career Development Chair, the inaugural Steven and Renee Innovation Fellowship, and the 2014 Spira teaching award. She served on the Board of Governors of the Control System Society in 2010 and was an associate editor for IEEE Transactions on Automatic Control. She is currently the area co-editor for a new area for the journal Operations Research, entitled "Games, Information and Networks. She is the co-author of the book entitled “Convex Analysis and Optimization” (Athena Scientific, 2003).

Devavrat Shah (Massachusetts Institute of Technology)

Devavrat Shah is a professor of Electrical Engineering & Computer Science and Director of Statistics and Data Science at MIT. He received PhD in Computer Science from Stanford. He received Erlang Prize from Applied Probability Society of INFORMS in 2010 and NeuIPS best paper award in 2008.

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