All Questions
Tagged with sp.spectral-theory markov-chains
14 questions
2
votes
0
answers
41
views
Why has the random Koopman matrix $ G_{xx}^{(-)} G_{yx} $ only eigenvalues on the complex unit circle?
Let U be a $\Bbb{R}^{(n+1)(n+1)} $ matrix with entries drawn from a independent normal distribution,
e.g.
$$ U_{i j} \sim N(0,1) \quad \quad i,j=1,...n+1$$
Let $ G=U U^* $ be a Gram matrix where $ U^* ...
- 253
1
vote
0
answers
118
views
Spectral gap of a Markov operator on $L^2$ with a symmetric $L^\infty$ kernel
Let $I$ be a compact interval, say $I:=(0,1)$, and $k\in L^\infty(I\times I)$ a symmetric Markov kernel, i.e. $k(x,y)=k(y,x)$ and
$$\int_I k(x,y) d y = 1\qquad\mbox{for almost all } x\in I.$$
Let $K:L^...
- 11
3
votes
1
answer
498
views
Spectral Radius and Spectral Norm for Markov Operators
My question concerns differences between the spectral radius $\rho$ and norm $\| \cdot \|$ of Markov operators in infinite-dimensional Banach spaces. This is far from my area of expertise, that is ...
- 560
2
votes
0
answers
57
views
Right spectral gap of vector of two independent Markov chains
Let $(X_i)$ be a stationary Markov chain on $S$ (a potentially uncountable space with a Borel sigma algebra) with stationary distribution $\pi$ and transition kernel $P$. Let $(Y_i)$ be a stationary ...
- 203
0
votes
0
answers
122
views
Methods to find the spectrum of an operator
Suppose we have a bounded, self-adjoint operator $T$ on a set of functions $\mathcal{F}$. What kinds of methods are there to find the spectrum of $T$?
Here is the setting I'm wondering about: consider ...
- 153
6
votes
1
answer
256
views
Perron-Frobenius and Markov chains on countable state space
The following question naturally arises in the theory of Markov chains with countable state space to which I would be curious to know the answer:
Let $A:\ell^1 \rightarrow \ell^1$ be a contraction, i....
- 173
1
vote
1
answer
173
views
Spectral gap of a Markov chain on the nonnegative integers
Let $\lambda_k,\mu_k\in\mathbb R_{\ge0}$ $(k\ge1)$ be nonnegative real numbers such that $\sum_{k=1}^\infty k\lambda_k<\infty,$ let $S=\mathbb Z_{\ge0}$ be the nonnegative integers, let $T=\mathbb ...
- 276
1
vote
2
answers
242
views
Extension of spectral gap inequality in Wasserstein distance
Let $E$ be a separable $\mathbb R$-Banach space, $\rho_r$ be a metric on $E$ for $r\in(0,1]$ with $\rho_r\le\rho_s$ for all $0<r\le s\le1$, $\rho:=\rho_1$, $$d_{r,\:\delta,\:\beta}:=1\wedge\frac{\...
- 167
0
votes
2
answers
244
views
Spectrum of a Markov kernel acting on $L^2$
Let $P$ be a Markov kernel on a measurable space $(E,\mathcal E)$ admitting an invariant probability measure $\pi$. $P$ acts on $L^2(\pi)$ via $$Pf:=\int\kappa(\;\cdot\;{\rm d}y)f(y).$$ The invariance ...
- 167
0
votes
0
answers
224
views
Show convergence of a sequence of resolvent operators
Let
$E$ be a locally compact separable metric space
$(\mathcal D(A),A)$ be the generator of a strongly continuous contraction semigroup on $C_0(E)$
$E_n$ be a metric space for $n\in\mathbb N$
$(\...
- 167
5
votes
1
answer
1k
views
Eigenvalue and eigenvector of ergodic Markov operator for continuous space Markov chain
As we know that the transition matrix $P$ of a Markov chain with finite space is a stochastic matrix, and from Perron-Frobenius Theorem, we know that the spectral radius of the matrix $P$ is $1$, and ...
- 53
2
votes
1
answer
253
views
Computing the pseudo-spectral gap
In the paper "Concentration inequalities for Markov chains by Marton couplings and spectral methods", https://projecteuclid.org/euclid.ejp/1465067185, D. Paulin defines the pseudo-spectral gap for any ...
- 6,541
0
votes
1
answer
414
views
Exact formula for computing n-step transition probability of random walks with self-transitions
Consider a semi-infinite random walks $X_n$, $n=0,1,2,\ldots$, whose state space is a set of consecutive integers and whose one-step transition probabilities are $P_{ij}=\mathrm{Pr}\{X_{n+1}=j|X_n=i\}$...
- 1
3
votes
0
answers
362
views
Spectral radius of a column stochastic matrix perturbed by a rank-1 matrix
$P\in \mathbb{R}^{n\times n}$ is an irreducible column stochastic matrix. $P$ is also diagonally dominant. $w \in \mathbb{R}^{n} $ is a strictly positive vector satisfying $w^T \mathbf{1} = 1$ where $\...
- 143