# Questions tagged [stochastic-matrices]

A stochastic matrix (also termed probability matrix, transition matrix, substitution matrix, or Markov matrix) is a square matrix used to describe the transitions of a Markov chain. Each of its entries is a nonnegative real number representing a probability.

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### Determinantal inequality for difference of substochastic matrices

Let $A=(A_{ij})_{1\le i,j\le n}$ be a square matrix with nonnegative real entries. Recall that $A$ is called a substochastic matrix if
$$
\forall i,\ \ \sum_j A_{ij}\le 1\ .
$$
In the course of my ...

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### Random pseudo-inverse matrix problem

Given a matrix $M \in \mathbb{R}^{n \times N_d}$, $N_d \gg n$ and $\mathrm{rank}(M) = n$, the entries of $M$ are denoted as $M_{[ij]}, i = 1,...,n, j = 1,..., N_d$ and $M_{[ij]} \in [-\textbf{m}, \...

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### Comparison of time until absorption for two absorbing Markov chains

Let $\{X_t, t \geq 0\}$ and $\{X_t', t \geq 0\}$ denote two markov chains on the same state space $\{1, ..., n+1\}$ with transition probability matrices $P$ and $P'$ respectively. Suppose that both ...

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### Ito lemma for SDEs on a Lie group

I'm trying to generalize the theorem described in this paper https://arxiv.org/abs/2001.01098 to the case of a semisimple compact matrix Lie group.
In doing so i'm trying to define a formula ...

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1
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### Compressing covariance matrix from 3X3 to 2X2

thanks for answering my question. My question is,
Let $v_3=[a,b,c]^T$ is a probabilistic 3-D vector variable which is distributed by zero mean Gaussian of dense covariance matrix $\Sigma_{3\times3}$.
...

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2
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### On permanent of a square of a doubly stochastic matrix

Let $A = (a_{i,j})$ be a double stochastic matrix with positive entries. That is, all entries are positive real numbers, and each row and column sums to one. A permanent of a matrix $A = (a_{i,j})$ is ...

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### How to generate constant row and column sum matrices?

How can we randomly generate matrix $A \in \mathbb{R}^{n \times m}_{\geq 0}$ that satisfies
$A 1_n = m1$ and $A^T 1_m = n1$.

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### Is every nearly rank-1 doubly stochastic matrix a product of pairwise averaging matrices?

A doubly stochastic matrix is a square matrix with non-negative real entries where the sum of each row is $1$ and the sum of each column is $1$. A pairwise averaging matrix is a matrix of the form $tA+...

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### Maximum volume submatrices of a Khatri-Rao product of matrix exponentials

My question requires quite a bit of setup, which leads to a conjecture. So I split my question into three parts, Setup, Conjecture, and Question.
Setup:
Pick any two right stochastic matrices $\...

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### Pagerank Markov chain reductions

In short: if a Markov chain models a (generalized) pagerank, is it always possible to remove any of its state and obtain a Markov chain that models a pagerank close to the initial one?
Full details.
...

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### Generalization of Sinkhorn’s theorem to stochastic tensors?

Is there an algorithm for mapping a nonnegative tensor / kD array into stochastic form? i.e. assume we have a tensor of unnormalized counts, $c: ℕ^{n^k}$, can we derive a function $f: ℕ^{n^k} → ℝ^{n^k}...

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### Existence of a specific stochastic matrix

Let $0\le x_1\le x_2\le \cdots\le x_n\le n-1$ be given. My question is as follows : Under which condition there exists a doubly stochastic matrix $M=(m_{i,j})_{1\le i,j\le n}$ s.t.
$$\sum_{j=1}^n (j-1)...

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1
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### The integral of a Gaussian process on a unit sphere

Suppose there exist a zero-mean Gaussian process $\mathbb{G} f_u$ indexed by $u \in \mathcal{S}^{p - 1}$ with known covariance $\mathrm{E} \big[ \mathbb{G} f_u \mathbb{G} f_v \big]$ when both $u$ and $...

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### Follow up: Show that these vectors are linearly independent almost surely

I posted this question some time ago here. I started a bounty for it and received an answer which helped me a lot. However, I still have some issues I want to discuss regarding it. Unfortunately I can'...

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### Show that these vectors are linearly independent almost surely

So I'm doing research in control theory and I have been stuck with this problem for a while. Let me explain my issue, then my proposal, and finally my concrete question.
Problem: I have $m<n$ real $...

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### Doubly-stochastic partial-isometric matrices

An $n\times n$ matrix $A$ with nonegative real entries $a_{ij}$ is said to be doubly stochastic if $\sum_{i=1}^na_{ij} = 1$,
for all $j$, and $\sum_{j=1}^na_{ij}=1$, for all $i$.
Much is known [1] ...

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0
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### Upper and lower bounds on the entries of a matrix power

Say I have a non-negative square $n\times n$ irreducible stochastic matrix $A$ (i.e., each column sums to 1), for which the following holds:
$$A_{ij} > 0 \iff A_{ji} > 0.$$
I know that no more ...

2
votes

1
answer

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### Diagonalizable stochastic matrix that satisfies an equation

Given an arbitrary discrete probability distribution $a = (a_1, ..., a_n)$ and another arbitrary discrete probability distribution $b = (b_1, ..., b_n)$, what is the easiest known way to find a ...

2
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1
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### Is the Wasserstein kernel positive definite?

Define a point cloud $X=\{x_i\}_{1\leq i\leq n}$, for $x_i\in\mathbb R^d$. Define the Wasserstein kernel as $$W(X,Y)=\max_{T}\frac{1}{n}\sum_{kl}T_{kl}\langle x_k,y_l \rangle$$
where $T$ is any doubly ...

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### Completeness results for Categorical Quantum Mechanics restricted to one $\dagger$-Frobenius Algebra?

I've seen the various completeness results for Categorical Quantum Mechanics (CQM) axiom systems involving two interacting Frobenius algebras with various restrictions of phase-nodes. For example, the ...

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### Frobenius normal form of a doubly stochastic matrix

If $A \in M_n(\mathbb{C})$, then $A$ is called reducible if there is a permuation matrix $P$ such that
$$
P^\top A P =
\begin{bmatrix}
A_{11} & A_{12} \\
0 & A_{22}
\end{bmatrix}, $$
in ...

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### Eigenvalues of cyclic stochastic matrices

Let's consider the following $n \times n$ cyclic stochastic matrix
$$ M= \begin{pmatrix}
0 & a_2 & & & &b_n \\\
b_1 & 0& a_3& &&& \\\
& b_2 & ...

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### What properties characterize the function $L(x) = x+\exp(x) \log(x)$?

As might be known, the function $L(x) = x+\exp(x)\log(x)$ plays a prominent role in the Lagarias formulation of the Riemann hypothesis:
$$\sigma(n) \le H_n + \exp(H_n) \log(H_n)$$
My question is, ...

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votes

1
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### Mixing time and spectral gap for a special stochastic matrix

Consider the following dimension stochastic matrix,
\begin{bmatrix}
p & q & 0 & 0 & 0 \\
0 & 0 & 1 & 0 & 0 \\
0 & 0 & 0 & 1 & 0 \\
0 & 0 & 0 &...

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1
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### Pre-garbling does not improve capacity of a channel

Suppose ABC=B for some column stochastic matrices A, B, and C.
Can the following implication be made without further restrictions:
There necessarily exists a column stochastic matrix D such that DB=BC?...

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### Birkhoff – von Neumann for "$k$-stochastic matrices"

Recall that a doubly-stochastic matrix is a square matrix with non-negative elements such the sum of the elements in every row, as well as in every column, is $1$. The set of doubly-stochastic ...

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### Apply doubly stochastic matrix M to a probability vector, then entropy increases?

Consider a vector $p =(p_1,\dots,p_n)$, $p_i>0$, $\sum p_i = 1$
and a matrix $M_{ij}$, which is doubly stochastic: $\sum_i M_{ij} = 1, \sum_j M_{ij} = 1, M_{ij} > 0$.
Question 1 Just apply ...

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1
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### On the eigenvalue of the expectation value of a random matrix in quadratic form

When we handle with some dynamic input-output mappings, there occurs a question as follows:
Let $M$ be a random matrix, of which each element contains random terms. Consider the two expectation ...

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0
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### Sufficient conditions for all eigenvalues simple in stochastic matrix

The "largest" eigenvalue $1$ of a stochastic matrix is well-characterized by the classical Perron-Frobenius theorem. In particular, it gives sufficient conditions for the eigenvalue $1$ to be simple.
...

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### Bounds on $\|(P+\Delta)^n - P^n\|_F$ for stochastic matrices

Let us suppose that $P$ is a stochastic matrix (non-negative matrix with $P \mathbf{1} = \mathbf{1}$).
Let $\Delta$ such that $P + \Delta$ is a stochastic matrix (which means $P + \Delta$ is non-...

8
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1
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### On the limit of partial sum of infinite doubly stochastic matrix

Let $A=(a_{ij})$ be an infinite doubly stochastic matrix. Does there necessarily exist a subsequence $\{n_k\}_{k=1}^\infty$ such that
$$ \lim_{k\to\infty}\frac{1}{n_k}\sum_{i=1}^{n_k}\sum_{j=1}^{n_k}...

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1
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### A question on the partial sum of infinite doubly stochastic matrix

Let $A=(a_{ij})$ be an infinite doubly stochastic matrix. Is the following statement true ?
$$
\lim_{n\to\infty}\frac{1}{n}\sum_{i=1}^n\sum_{j=1}^na_{ij} >0
$$
Any reference or comment on this is ...

2
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0
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### Constraint involving a stochastic matrix and its inverse

Consider the following feasibility problem:
Find an $n \times n$ stochastic matrix $L$ such that $L^{-1} M L x$ is a non-negative vector, where $M$ is a known $n \times n$ positive matrix and $x$ is ...

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### The expected square of the determinant of a random row stochastic matrix

In this
question Anthony Quas asks about the expected absolute value of
the determinant of an $n\times n$ row stochastic matrix $A$, where
the rows are independently selected from the uniform ...

4
votes

1
answer

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### Determinant of a random row stochastic matrix

Does anyone know anything about the determinant of a random $n\times n$ row stochastic matrix? What I have in mind is that the rows are independently selected from the uniform distribution on the unit ...

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votes

4
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### Find a square, stochastic matrix of odd size, not a permutation matrix, with an eigenvalue other than 1 on the unit circle

...or prove that none exists.
Note that such a matrix $M$ couldn't be primitive, so there would be at least one entry equal to zero in every power $M^k$ (Perron-Frobenius theory).
Preferably the ...

4
votes

0
answers

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### Spectral radius of the product of a right stochastic matrix and a block diagonal matrix

Let us define the following matrix:
$C=AB$
where $B$ is a block diagonal matrix with $N$ blocks, $B_1$, $B_2$ … $B_N$, each of dimensions $M \times M$. I know that $B_k = I_M - \mu R_k$ with $R_k$ ...

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1
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### Eigenvectors of a perturbed reducible stochastic matrix

Let $Q$ be a $n\times n$ reducible stochastic matrix. Let $J$ be such that $[J]_{ij}={1 \over n}$. Now for a small positive constant $\alpha\in [0,1]$, consider the matrix
$$\tilde{Q}\,=\,(1-\alpha)...

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2
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### Convergence of iterated stochastic matrices

It is well-known that for a stochastic aperiodic matrix $M$,
the sequence $(M^n)_n$ converges.
Here I would like to a have a more precise analysis. Consider now a sequence of stochastic matrices $(...

5
votes

1
answer

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### The minimal norm of a shifted stochastic matrix

Given a row-stochastic matrix $M$ with singular values $\sigma_{1} \geq \cdots \geq \sigma_{n}$, I am looking for an upper bound on the expression
$$\min_{\alpha} \left\| M- \frac{\alpha}{n}J_{n} \...

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3
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### Non-diagonalizable doubly stochastic matrices

Are there constructive examples of doubly stochastic matrices (whose rows and columns all sum up to $1$ and contain only non-negative entries) that are not diagonalizable?

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### Which doubly stochastic matrices can be written as products of pairwise averaging matrices?

A matrix $A$ is called doubly stochastic if its entries are nonnegative, and if all of its rows and columns add up to $1$. A subset of doubly stochastic matrices is the set of pairwise averaging ...