The embedding problem for Markov matrices

DOI10.5565/PUBLMAT6712308MaRDI QIDQ6339871arXivFDO

Authors Marta Casanellas, Jesús Fernández-Sánchez, Jordi Roca-Lacostena

Publication date 2 May 2020

Published in arXiv

Full work available at URL https://doi.org/10.5565/PUBLMAT6712308

Mathematics Subject Classification ID

Matrix exponential and similar functions of matrices (15A16) Stochastic matrices (15B51) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27)

arXiv classification

math.PRmath.SP

Abstract: Characterizing whether a Markov process of discrete random variables has an homogeneous continuous-time realization is a hard problem. In practice, this problem reduces to deciding when a given Markov matrix can be written as the exponential of some rate matrix (a Markov generator). This is an old question known in the literature as the embedding problem (Elfving37), which has been only solved for matrices of size $2imes2$ or $3imes3$. In this paper, we address this problem and related questions and obtain results in two different lines. First, for matrices of any size, we give a bound on the number of Markov generators in terms of the spectrum of the Markov matrix. Based on this, we establish a criterion for deciding whether a generic Markov matrix (different eigenvalues) is embeddable and propose an algorithm that lists all its Markov generators. Then, motivated and inspired by recent results on substitution models of DNA, we focus in the $4imes4$ case and completely solve the embedding problem for any Markov matrix. The solution in this case is more concise as the embeddability is given in terms of a single condition.

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