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Mixing Time


The mixing time of a finite Markov chain counts the number of steps required for its distribution to approach its stationary distribution from the worst initial state. For a transition matrix P and stationary distribution pi, the total variation convention is

 t_(mix)(epsilon)=min{t:max_(x)d_(TV)(P^t(x,·),pi)<=epsilon}.

The frequently used threshold is epsilon=1/4. For an irreducible aperiodic finite chain this time is finite. The choice of one step matters: one coordinate sweep of the Thorp shuffle consists of d physical shuffles on 2^d cards.

Partial permutation information need not by itself determine the full law.


See also

Glauber Dynamics, Markov Chain, Markov Chain Cutoff, Stationary Distribution, Thorp Shuffle, Total Variation Distance

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References

Levin, D. A. and Peres, Y. Markov Chains and Mixing Times, 2nd ed. With contributions by E. L. Wilmer. Providence, RI: American Mathematical Society, 2017. https://doi.org/10.1090/mbk/107.

Cite this as:

Weisstein, Eric W. "Mixing Time." From MathWorld--A Wolfram Resource. https://mathworld.wolfram.com/MixingTime.html

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