Near-Optimal Clustering in Mixture of Markov Chains
This work addresses clustering in mixture models for researchers in machine learning and statistics, offering a novel method with practical advantages over existing approaches.
The paper tackles the problem of clustering trajectories generated by unknown Markov chains, deriving a lower bound on clustering error and presenting a two-stage algorithm that achieves near-optimal error without prior knowledge of model-specific quantities, with improvements over state-of-the-art guarantees.
We study the problem of clustering $T$ trajectories of length $H$, each generated by one of $K$ unknown ergodic Markov chains over a finite state space of size $S$. The goal is to accurately group trajectories according to their underlying generative model. We begin by deriving an instance-dependent, high-probability lower bound on the clustering error rate, governed by the weighted KL divergence between the transition kernels of the chains. We then present a novel two-stage clustering algorithm. In Stage~I, we apply spectral clustering using a new injective Euclidean embedding for ergodic Markov chains -- a contribution of independent interest that enables sharp concentration results. Stage~II refines the initial clusters via a single step of likelihood-based reassignment. Our method achieves a near-optimal clustering error with high probability, under the conditions $H = \tildeΩ(γ_{\mathrm{ps}}^{-1} (S^2 \vee π_{\min}^{-1}))$ and $TH = \tildeΩ(γ_{\mathrm{ps}}^{-1} S^2 )$, where $π_{\min}$ is the minimum stationary probability of a state across the $K$ chains and $γ_{\mathrm{ps}}$ is the minimum pseudo-spectral gap. These requirements provide significant improvements, if not at least comparable, to the state-of-the-art guarantee (Kausik et al., 2023), and moreover, our algorithm offers a key practical advantage: unlike existing approach, it requires no prior knowledge of model-specific quantities (e.g., separation between kernels or visitation probabilities). We conclude by discussing the inherent gap between our upper and lower bounds, providing insights into the unique structure of this clustering problem.