Iterated Proportional Fitting Procedure and Infinite Products of Stochastic Matrices

DOI10.1007/978-3-319-92420-5_3zbMATH Open1453.15014arXiv1606.09126OpenAlexW2464577464MaRDI QIDQ5126589FDOQ5126589

Authors: Jean Brossard, Christophe Leuridan 

Publication date: 20 October 2020

Published in: Séminaire de Probabilités XLIX (Search for Journal in Brave)

Abstract: The iterative proportional fitting procedure, introduced in 1937 by Kruithof, aims to adjust the elements of an array to satisfy specified row and column sums. Given a rectangular non-negative matrix $X_0$ and two positive marginals $a$ and $b$, the algorithm generates a sequence of matrices $(X_n)$ starting at $X_0$, supposed to converge to a biproportional fitting, that is, to a matrix $Y$ whose marginals are $a$ and $b$ and of the form $Y=D_1{X}_0{D}_2$, for some diagonal matrices $D_1$ and $D_2$ with positive diagonal entries. When a biproportional fitting does exist, it is unique and the sequence $(X_n)$ converges to it at an at least geometric rate. More generally, when there exists some matrix with marginal $a$ and $b$ and with support included in the support of $X_0$, the sequence $(X_n)$ converges to the unique matrix whose marginals are $a$ and $b$ and which can be written as a limit of matrices of the form $D_1{X}_0{D}_2$. In the opposite case, the sequence $(X_n)$ diverges but both subsequences $(X_{2n})$ and $(X_{2n+1})$ converge. In the present paper, we use a new method to prove again these results and determine the two limit-points in the case of divergence. Our proof relies on a new convergence theorem for backward infinite products $cdots{M}_2{M}_1$ of stochatic matrices $M_n$, with diagonal entries $M_n(i,i)$ bounded away from $0$ and with bounded ratios $M_n(j,i)/M_n(i,j)$. This theorem generalizes Lorenz' stabilization theorem. We also provide an alternative proof of Touric and Nedi'c's theorem on backward infinite products of doubly-stochatic matrices, with diagonal entries bounded away from $0$. In both situations, we improve slightly the conclusion, since we establish not only the convergence of the sequence $(M_{n}cdots{M}_1)$, but also its finite variation.

Full work available at URL: https://arxiv.org/abs/1606.09126

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zbMATH Keywords

relative entropyiterative proportional fittingcontingency matricesdistributions with given marginalsinfinite products of stochastic matrices

Mathematics Subject Classification ID

Contingency tables (62H17) Random matrices (probabilistic aspects) (60B20) Positive matrices and their generalizations; cones of matrices (15B48) Stochastic matrices (15B51)

Cites Work

• I-divergence geometry of probability distributions and minimization problems
• Accumulation points of the iterative proportional fitting procedure
• Estimating Nonnegative Matrices from Marginal Data
• Contingency tables with given marginals
• Product of Random Stochastic Matrices and Distributed Averaging
• On Ergodicity, Infinite Flow, and Consensus in Random Models
• Limit points of the iterative scaling procedure
• Convergence of the Iterative Scaling Procedure for Non-Negative Matrices
• Diagonal Equivalence to Matrices with Prescribed Row and Column Sums
• An Iterative Procedure for Estimation in Contingency Tables
• Order independence and factor convergence in iterative scaling
• Biproportional scaling of matrices and the iterative proportional fitting procedure
• On backward product of stochastic matrices

Cited In (5)

• Copula-like inference for discrete bivariate distributions with rectangular supports
• Biproportional scaling of matrices and the iterative proportional fitting procedure
• Accumulation points of the iterative proportional fitting procedure
• Continuity of \(f\)-projections and applications to the iterative proportional fitting procedure
• Copula modeling for discrete random vectors

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