Transition matrices for well-conditioned Markov chains

DOI10.1016/J.LAA.2006.06.003MaRDI QIDQ884415zbMATH OpenOpenAlexFDO

Authors Jianhong Xu, S. J. Kirkland, M. Neumann

Publication date 6 June 2007

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.laa.2006.06.003

zbMATH Keywords

condition numberdoubly stochastic matrixgroup inverseMarkov chainstationary distributionstochastic matrix

Mathematics Subject Classification ID

Conditioning of matrices (15A12) Eigenvalues, singular values, and eigenvectors (15A18) Stochastic matrices (15B51) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Review text

The authors study the class of irreducible stochastic matrices \(T\) of order \(n\) such that \(\kappa_3(T)=\frac {n-1}{2n}\), where \(\kappa_3(T):=\frac 12\max_{1\leq j\leq n}\pi_j\| (I-T)_j^{-1}\| _{\infty}\), \((I-T)_j\), \(j=1,2,\dots, n\) the pricipal submatrices of \(I-T\) by deleting the \(j\)th row and \(j\)th column of \(I-T\), \(I\) the identity matrix and \(\pi\) the stationary distribution vector of the finite ergodic homogeneous Markov chain defined by \(T\) (as the probability transition matrix). Such matrices correspond to Markov chains with desirable conditioning properties. They identify some restrictions on the zero-nonzero patterns of such matrices, and construct several infinite classes of matrices for which \(\kappa_3\) is as small as possible.

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Cites work

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• scientific article; zbMATH DE number 19232 (Why is no real title available?)
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Cited in

(9)

• Regular Markov chains for which the transition matrix has large exponent
• Reducible solution to a quaternion tensor equation
• Perturbation analysis for continuous-time Markov chains
• Factorization of generalized theta functions revisited
• A system of matrix equations over the quaternion algebra with applications
• Inequalities for functions of transition matrices
• Iteration methods for the classical split quaternion tensor equation \(\mathcal{E}*_N\mathcal{X}*_N\mathcal{F}=\mathcal{D}\)
• An iterative algorithm for computing mean first passage times of Markov chains
• On optimal condition numbers for Markov chains

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