A Revisit of Block Power Methods for Finite State Markov Chain Applications
For practitioners computing stationary distributions of large Markov chains where matrix access is costly, this method offers a practical speedup by reducing passes over the matrix.
The paper revisits block power methods for Markov chains, showing that block size s accelerates convergence based on the (s+1)th eigenvalue, and combines it with a sliding window scheme to reduce matrix-vector multiplications. In a calcium release site model, the method achieves faster convergence than the standard power method.
In this paper, we revisit the generalized block power methods for approximating the eigenvector associated with $λ_1 = 1$ of a Markov chain transition matrix. Our analysis of the block power method shows that when $s$ linearly independent probability vectors are used as the initial block, the convergence of the block power method to the stationary distribution depends on the magnitude of the $(s+1)$th dominant eigenvalue $λ_{s+1}$ of $P$ instead of that of $λ_2$ in the power method. Therefore, the block power method with block size $s$ is particularly effective for transition matrices where $|λ_{s+1}|$ is well separated from $λ_1 = 1$ but $|λ_2|$ is not. This approach is particularly useful when visiting the elements of a large transition matrix is the main computational bottleneck over matrix--vector multiplications, where the block power method can effectively reduce the total number of times to pass over the matrix. To further reduce the overall computational cost, we combine the block power method with a sliding window scheme, taking advantage of the subsequent vectors of the latest $s$ iterations to assemble the block matrix. The sliding window scheme correlates vectors in the sliding window to quickly remove the influences from the eigenvalues whose magnitudes are smaller than $|λ_{s}|$ to reduce the overall number of matrix--vector multiplications to reach convergence. Finally, we compare the effectiveness of these methods in a Markov chain model representing a stochastic luminal calcium release site.