On a question concerning condition numbers for Markov chains

被引:32
作者
Kirkland, S [1 ]
机构
[1] Univ Regina, Dept Math & Stat, Regina, SK S4S 0A2, Canada
关键词
stochastic matrix; Markov chain; stationary vector; condition number;
D O I
10.1137/S0895479801390947
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
Let S be an irreducible stochastic matrix of order n with left stationary vector pi(T), and let S-(i) denote the principal submatrix of S formed by deleting the ith row and column. We prove that max(1less than or equal toiless than or equal ton) piiparallel to(I-S-(i))(-1)parallel to(infinity)<min(1less than or equal tojless than or equal ton) parallel to(I-S-(j))(-1)parallel to(infinity), thus answering question posed by Cho and Meyer. We provide an attainable lower bound on max(1less than or equal toiless than or equal ton) piiparallel to(I-S-(i))(-1)parallel to(infinity), and discuss the case that equality holds in that bound.
引用
收藏
页码:1109 / 1119
页数:11
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