The ensemble of random Markov matrices

DOI10.1088/1742-5468/2009/07/P07005MaRDI QIDQ3301069zbMATH OpenWikidataFDO

Authors Martin Horvat

Publication date 11 August 2020

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0812.0567

zbMATH Keywords

dynamical processes (experiment)dynamical processes (theory)stochastic processes (experiment)stochastic processes (theory)

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44) Dynamics of disordered systems (random Ising systems, etc.) in time-dependent statistical mechanics (82C44)

Abstract: The ensemble of random Markov matrices is introduced as a set of Markov or stochastic matrices with the maximal Shannon entropy. The statistical properties of the stationary distribution pi, the average entropy growth rate $h$ and the second largest eigenvalue nu across the ensemble are studied. It is shown and heuristically proven that the entropy growth-rate and second largest eigenvalue of Markov matrices scale in average with dimension of matrices d as h ~ log(O(d)) and nu ~ d^(-1/2), respectively, yielding the asymptotic relation h tau_c ~ 1/2 between entropy h and correlation decay time tau_c = -1/log|nu| . Additionally, the correlation between h and and tau_c is analysed and is decreasing with increasing dimension d.

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Cited in

(7)

• Matrix measures, random moments, and Gaussian ensembles
• Singular value distribution of dense random matrices with block Markovian dependence
• Time-inhomogeneous random Markov chains
• scientific article; zbMATH DE number 5657663 (Why is no real title available?)
• Generating random quantum channels
• Random stochastic matrices from classical compact Lie groups and symmetric spaces
• Corralling spectra of generators of time-continuous Markov evolution (both classical and quantum)

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