Let $P_1,P_2$ denote  stochastic transition matrices on some countable set $I$. 
Consider  $P_1,P_2$ as operators on $\ell^2(I)$.

Under which conditions can we show that for $t\in (0,1)$,
$$\rho(tP_1+(1-t)P_2)\le t\rho(P_1)+(1-t)\rho(P_2),$$ where $\rho(\cdot )$ denotes the spectral radius???

If $P_1,P_2$ are selfadjoint, then the spectral radius can be replaced by the norm, and the inequality holds.
If $P_1,P_2$ commute, then the inequality holds. But this seems very restrictive. I'm fine with the assumption that $P_1$ and $P_2$ have zeros at the same places.

Of course, it would be nice to consider this problem also for more general classes of Markov operators acting on some function space.


My favorite example is the case where $I$ is the free group $G$ of rank $d\ge2$ and the $P_1,P_2$ are given according to some measure on a set of generators, i.e. $P_i(g,g'):=\mu_i(  g^{-1}g'  ).$ In this case, the spectral radius of $P_i$ is strictly less than one, since the group is non-amenable (H. Kesten 1959). 
Note that non-zero constant functions are not in $\ell^2(G)$.