Bounds on absorption times of directionally biased random sequences

A sequence of random variables X₀,X₁, … with values in {0, 1, …, n} representing a general finite-state stochastic process with absorbing state 0 is said to be directionally biased towards 0, if, for all j > 0, ϵ_j: = inf_k>0 {j − E[X_k | X_k−1 = j]} > 0. For such sequences, let t be the expected value of the time to absorption at 0. For a fixed set of biases, the least upper bound for this time can be computed with an algorithm requiring O(n²) steps. Simple upper bounds are described. In particular, t ≤ E[b_x0], where b_i = Σ_j≤i 1/¯ϵ_j and ¯ϵ_j = min_l≥j {ϵ_l}. If all ϵ_j ≤ ϵ_{j + 1} (so ¯ϵ_j = ϵ_j) and ϵ_n < 1, this bound for t is the best possible. For certain finite stochastic processes which we term conditionally independent of X₀ = i, b(i) bounds the expected time given X₀ = i. Similar results are given for lower bounds. The results of this paper were designed to be a useful tool for determining rates of convergence of stochastic optimization algorithms. © 1996 John Wiley & Sons, Inc.