Product of Random Stochastic Matrices

DOI10.1109/TAC.2013.2283750MaRDI QIDQ2983267zbMATH OpenFDO

Authors Behrouz Touri, Angelia Nedić

Publication date 16 May 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.1751

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15) Random matrices (probabilistic aspects) (60B20)

Abstract: The paper deals with the convergence properties of the products of random (row-)stochastic matrices. The limiting behavior of such products is studied from a dynamical system point of view. In particular, by appropriately defining a dynamic associated with a given sequence of random (row-)stochastic matrices, we prove that the dynamics admits a class of time-varying Lyapunov functions, including a quadratic one. Then, we discuss a special class of stochastic matrices, a class $Pstar$, which plays a central role in this work. We then introduce balanced chains and using some geometric properties of these chains, we characterize the stability of a subclass of balanced chains. As a special consequence of this stability result, we obtain an extension of a central result in the non-negative matrix theory stating that, for any aperiodic and irreducible row-stochastic matrix $A$, the limit $li{m}_{koinfty}{A}^k$ exists and it is a rank one stochastic matrix. We show that a generalization of this result holds not only for sequences of stochastic matrices but also for independent random sequences of such matrices.

Cited in

(28)

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• Constrained consensus of discrete-time multi-agent systems with time delay
• Consensus in possibly unbalanced switching networks with relative-state-dependent noises
• Universal sum and product rules for random matrices
• A note on products of random matrices
• ``Random random matrix products
• Krause mean processes generated by cubic stochastic diagonally primitive matrices
• Krause mean processes generated by cubic stochastic matrices IV: off-diagonally uniformly positive nonautonomous cubic stochastic matrices
• Applications of quadratic stochastic operators to nonlinear consensus problems
• DIMIX: Diminishing Mixing for Sloppy Agents
• A Unified Framework for Continuous-Time Unconstrained Distributed Optimization
• Robust consensus of multi‐agent systems with multiplicative uncertainties and its application in time synchronization
• Krause Mean Processes Generated by Cubic Stochastic Matrices with Weak Influences
• Krause mean processes generated by off-diagonally uniformly positive nonautonomous stochastic hyper-matrices
• Convergence rate of Markov chains over switching distance regular networks
• Krause mean processes generated by doubly stochastic hyper-matrices with positive influences
• Stochastic approximation in unbalanced time-varying networks for robust distributed coordinated control

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