Convergence of Markov Chains in Information Divergence

Peter Harremoës () and Klaus Kähler Holst ()
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Peter Harremoës: Quantum Computing and Advanced Systems Research Centre for Mathematics and Computer Science (CWI)
Klaus Kähler Holst: University of Copenhagen

Journal of Theoretical Probability, 2009, vol. 22, issue 1, 186-202

Abstract: Abstract Information theoretic methods are used to prove convergence in information divergence of reversible Markov chains. Also some ergodic theorems for information divergence are proved.

Keywords: Information divergence; Increasing information; Decreasing information; Markov chain; Reversible Markov chain; Ergodic theorems; 60J10; 94A15; 60B11; 60F15 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10959-007-0133-7

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