Supposes I have a Discrete Time Markov Chain with Transition Matrix $P = \begin{pmatrix} p_{11} & p_{12} \\ p_{21} & p_{22} \end{pmatrix}$ and initial distribution $\begin{pmatrix} p^0_1 \\ p^0_2 \end{pmatrix}$.
In this case, we can define the Stationary Distribution $\begin{pmatrix} \pi_1 \\ \pi_2 \end{pmatrix}$ as:
$$\lim_{{n \to \infty}} \begin{pmatrix} \pi_1 \\ \pi_2 \end{pmatrix}^n = \begin{pmatrix} p^0_1 \\ p^0_2 \end{pmatrix} \begin{pmatrix} p_{11} & p_{12} \\ p_{21} & p_{22} \end{pmatrix}^n$$
My Question: Provided the Stationary Distribution does exist, is it possible to find out the number of iterations $n$ required for the Markov Chain to reach its Stationary Distribution within some distance $\epsilon$? Can someone please show me how to derive this formula for number of iterations?
Note: I recently learned about the Spectral Gap concept ... but I am not sure why it is relevant for this problem and where that formula comes from.
Thanks!
- PS: I think if the Stationary Distribution = Limiting Distribution , then the number of iterations to reach either is the same. But in situations where the Limiting Distribution is not the same as the Stationary Distribution ... Is there a separate formula for finding out the number of iterations required to reach the Limiting Distribution?