Approximate and exact solutions of intertwining equations through random spanning forests

Luca Avena (1) , Fabienne Castell (2) , Alexandre Gaudillière (2) , Clothilde Melot (2)

1 Mathematical institute
2 I2M - Institut de Mathématiques de Marseille

For different reversible Markov kernels on finite state spaces, we look for families of probability measures for which the time evolution almost remains in their convex hull. Motivated by signal processing problems and metastability studies we are interested in the case when the size of such families is smaller than the size of the state space, and we want such distributions to be with small overlap among them. To this aim we introduce a squeezing function to measure the common overlap of such families, and we use random forests to build random approximate solutions of the associated intertwining equations for which we can bound from above the expected values of both squeezing and total variation errors. We also explain how to modify some of these approximate solutions into exact solutions by using those eigenvalues of the associated Laplacian with the largest absolute values.

Mots clés: Intertwining; Markov process; finite networks; multiresolution analysis; metastability; random spanning forests

Domaines: Probabilités [math.PR]

Luca Avena, Fabienne Castell, Alexandre Gaudillière, Clothilde Melot. Approximate and exact solutions of intertwining equations through random spanning forests. 2017. ⟨hal-01470573v1⟩