The variation threshold, Kemeny's constant and stationary times of reversible Markov chains

For finite reversible Markov chains, Aldous and Fill asked whether the variation threshold $\tau_1$ is at most the average hitting time $\tau_0$ (Kemeny's constant), and whether the relaxation time $\tau_2$ is at most $\tau_1^{(2)}$, the largest over initial states of the least mean of a stopping time at which the chain has its stationary distribution. The answer to the first question is no: a birth and death chain on three states with a strong drift has $\tau_1>\tau_0$, and on the analogous chains with $k+1$ states the ratio $\tau_1/\tau_0$ tends to $t_k/k$ as the drift grows, where $t_k$ is the point at which the survival function of the Gamma$(k,1)$ distribution equals $e^{-1}$; for $k=4$ this limit is $1.0879\ldots$. The answer to the second question is yes, in continuous and in discrete time.

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Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2026-11-08
DOI
https://doi.org/10.5281/zenodo.24069928
Primary Topic
Markov Chains and Monte Carlo Methods
Type
preprint
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preprint

The variation threshold, Kemeny's constant and stationary times of reversible Markov chains

Yitzchak Shmalo
Zenodo (CERN European Organization for Nuclear Research)
Markov Chains and Monte Carlo Methods
preprint

The variation threshold, Kemeny's constant and stationary times of reversible Markov chains

Yitzchak Shmalo
preprint en

Abstract

For finite reversible Markov chains, Aldous and Fill asked whether the variation threshold $\tau_1$ is at most the average hitting time $\tau_0$ (Kemeny's constant), and whether the relaxation time $\tau_2$ is at most $\tau_1^{(2)}$, the largest over initial states of the least mean of a stopping time at which the chain has its stationary distribution. The answer to the first question is no: a birth and death chain on three states with a strong drift has $\tau_1>\tau_0$, and on the analogous chains with $k+1$ states the ratio $\tau_1/\tau_0$ tends to $t_k/k$ as the drift grows, where $t_k$ is the point at which the survival function of the Gamma$(k,1)$ distribution equals $e^{-1}$; for $k=4$ this limit is $1.0879\ldots$. The answer to the second question is yes, in continuous and in discrete time.

Zenodo (CERN European Organization for Nuclear Research)
Hebrew University of Jerusalem (IL)
Markov Chains and Monte Carlo Methods
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