Part of Advances in Neural Information Processing Systems 37 (NeurIPS 2024) Main Conference Track
Yanlin Qu, Jose Blanchet, Peter W Glynn
Convergence rate analysis for general state-space Markov chains is fundamentally important in operations research (stochastic systems) and machine learning (stochastic optimization). This problem, however, is notoriously difficult because traditional analytical methods often do not generate practically useful convergence bounds for realistic Markov chains. We propose the Deep Contractive Drift Calculator (DCDC), the first general-purpose sample-based algorithm for bounding the convergence of Markov chains to stationarity in Wasserstein distance. The DCDC has two components. First, inspired by the new convergence analysis framework in (Qu et.al, 2023), we introduce the Contractive Drift Equation (CDE), the solution of which leads to an explicit convergence bound. Second, we develop an efficient neural-network-based CDE solver. Equipped with these two components, DCDC solves the CDE and converts the solution into a convergence bound. We analyze the sample complexity of the algorithm and further demonstrate the effectiveness of the DCDC by generating convergence bounds for realistic Markov chains arising from stochastic processing networks as well as constant step-size stochastic optimization.