Estimation of Markov Chain via Rank-Constrained Likelihood

Abstract

This paper studies the estimation of low-rank Markov chains from empirical trajectories. We propose a non-convex estimator based on rank- constrained likelihood maximization. Statistical upper bounds are provided for the Kullback- Leiber divergence and the ii risk between the estimator and the true transition matrix. The estimator reveals a compressed state space of the Markov chain. We also develop a novel DC (difference of convex function) programming algorithm to tackle the rank-constrained non-smooth optimization problem. Convergence results are established. Experiments show that the proposed estimator achieves better empirical performance than other popular approaches. © Copyright 2018 by the author(s).