On optimal condition numbers for Markov chains (Q957931)
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On optimal condition numbers for Markov chains (English)
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1 December 2008
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The authors consider the sensitivity of the stationary distribution of finite homogeneous ergodic Markov chain to perturbations in its transition matrix. Let \(T\) and \({\tilde T} = T - E\) be arbitrary nonnegative, irreducible, stochastic matrices corresponding to two ergodic Markov chains on \(n\) states. A function \(\kappa(T)\) is called a condition number for Markov chains with respect to the \((\alpha,\beta)\)-norm pair if \(\|\pi- \tilde{\pi}\|_\alpha \leq \kappa(T)\|E\|_\beta\). Here \(\pi\) and \({\tilde \pi}\) are the stationary distribution vectors of the two chains, respectively, \(E\) is the perturbation in transition matrix. Various condition numbers, particularly with respect to the \((1, \infty)\) and \((\infty, \infty)\)-norm pairs have been suggested in the literature. They were ranked according to their size by \textit{G. E. Cho} and \textit{C. D. Meyer} [Linear Algebra Appl. 335, 137--150 (2001; Zbl 0983.60062)]. In this paper it is shown that the generalized ergodicity coefficient \[ \tau_p(A^{\#}) = \sup_{y^te=0} \frac {\| y^t A^{\#} \|_p} {\|y\|_1}, \] where \(e\) is the \(n\)-vector of all 1's and \(A^{\#}\) is the group generalized inverse of \(A = I - T\), is the smallest condition number of Markov chains with respect to the \((p, \infty)\)-norm pair. This result is used to identify the smallest condition number of Markov chains among the \((\infty, \infty)\) and \((1, \infty)\)-norm pairs. These are, respectively, \(\kappa_3\) and \(\kappa_6\) in the Cho-Meyer list of 8 condition numbers. Kirkland has shown that \(\kappa_3(T)\geq (n-1)/(2n)\) and he has characterized transition matrices for which equality holds. In the paper it is proved again that \(2\kappa_3(T)\leq \kappa_6(T)\) which appears in the Cho-Meyer paper. Transition matrices \(T\) for which \(\kappa_6(T)= (n-1)/n\) are characterized. There is actually only one such matrix: \(T = (J_n - I)/(n - 1)\), where \(J_n\) is the \(n \times n\) matrix of all 1 's.
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finite Markov chains
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perturbation bounds
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condition numbers
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ergodicity coefficients
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