Markov chains at the onset of non-reversibility

Résumé

For a one-dimensional path graph and a lifted path graph constructed from a duplication of each of its sites, we study how a reversible Markov chain can be perturbed and gradually driven into non-reversibility. The reversible Markov chain has a transition matrix that is diagonalizable and features real-valued eigenvalues and eigenvectors. The left and right eigenvectors form a biorthogonal system. We discuss in concrete examples how the transition matrix of a non-reversible Markov chain may be diagonalizable or non-diagonalizable, and it may have real eigenvalues and complex-conjugate pairs. For a number of steady states (flat, square-wave, wedge, V-shape), we compute eigenvalue spectra on both graphs and discuss the speedup that can be achieved through lifting. We develop a Green's matrix formalism, which we use to compute Kemeny times and mean first-passage times, and which provides valuable information and allows us to interpret the results for the characteristic times.

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