Near-Optimal Clustering in Mixture of Markov Chains

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 StageI, we apply spectral clustering using a new injective Euclidean embedding for ergodic Markov chains – a contribution of independent interest that enables sharp concentration results. StageII 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=Ω̃ (γ−1ps(S2∨π−1min)) and TH=Ω̃ (γ−1psS2), where πmin is the minimum stationary probability of a state across the K chains and γps 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.