Convergence of a second order Markov chain

DOI10.1016/J.AMC.2014.05.011MaRDI QIDQ279270zbMATH OpenOpenAlexFDO

Publication date 27 April 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.6919

nonnegative tensor second-order Markov chain transition probability tensor

Positive matrices and their generalizations; cones of matrices (15B48) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: In this paper, we consider convergence properties of a second order Markov chain. Similar to a column stochastic matrix is associated to a Markov chain, a so called {em transition probability tensor}

P

of order 3 and dimension

n

is associated to a second order Markov chain with

n

states. For this

P

, define

F_{P}

as

F_{P} (x) := P x^{2}

on the

n - 1

dimensional standard simplex

D e l t a_{n}

. If 1 is not an eigenvalue of

a b l a F_{P}

on

D e l t a_{n}

and

P

is irreducible, then there exists a unique fixed point of

F_{P}

on

D e l t a_{n}

. In particular, if every entry of

P

is greater than

f r a c 1 2 n

, then 1 is not an eigenvalue of

a b l a F_{P}

on

D e l t a_{n}

. Under the latter condition, we further show that the second order power method for finding the unique fixed point of

F_{P}

on

D e l t a_{n}

is globally linearly convergent and the corresponding second order Markov process is globally

R

-linearly convergent.

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