A probabilistic proof of the <scp>Perron–Frobenius</scp> theorem

DOI10.1002/NAV.22042MaRDI QIDQ6079112zbMATH OpenOpenAlexFDO

Authors Peter W. Glynn

Publication date 25 October 2023

Published in Naval Research Logistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.04964

zbMATH Keywords

Markov population decisionMonte Carlo algorithmPerron-Frobenius theorem

Mathematics Subject Classification ID

Large deviations (60F10) Markov and semi-Markov decision processes (90C40)

Abstract: The Perron-Frobenius theorem plays an important role in many areas of management science and operations research. This paper provides a probabilistic perspective on the theorem, by discussing a proof that exploits a probabilistic representation of the Perron-Frobenius eigenvalue and eigenvectors in terms of the dynamics of a Markov chain. The proof provides conditions in both the finite-dimensional and infinite-dimensional settings under which the Perron-Frobenius eigenvalue and eigenvectors exist. Furthermore, the probabilistic representations that arise can be used to produce a Monte Carlo algorithm for computing the Perron-Frobenius eigenvalue and eigenvectors that will be explored elsewhere.

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Cited in

(13)

• The Perron-Frobenius theorem -- a proof with the use of Markov chains
• Projection theorems for hitting probabilities and a theorem of Littlewood
• A constructive proof of the Gelfand--Kolmogorov theorem
• Proof of Tomaszewski's conjecture on randomly signed sums
• Deductive proofs of almost sure persistence and recurrence properties
• A probabilistic version of a theorem of Kegel.
• A probabilistic proof of Schoenberg's theorem
• A Probabilistic Proof of the Multinomial Theorem
• scientific article; zbMATH DE number 3890084 (Why is no real title available?)
• A probabilistic proof of the fundamental theorem of algebra
• PROBABILISTIC PROOF OF LIMIT THEOREMS IN NUMBER THEORY BY MEANS OF ADELES
• The Cerny Conjecture Holds with High Probability
• Proofs of the Parisi and Coppersmith‐Sorkin random assignment conjectures

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