Geometry and Duality of Alternating Markov Chains

Abstract

In this note, we realize the half-steps of a general class of Markov chains as alternating projections with respect to the reverse Kullback-Leibler divergence between convex sets of joint probability distributions. Using this characterization, we provide a geometric proof of an information-theoretic duality between the Markov chains defined by the even and odd half-steps of the alternating projection scheme.

V2: Significantly simplified and shortened