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Digraph-based conditioning for Markov chains

โœ Scribed by S. Kirkland

Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
217 KB
Volume
385
Category
Article
ISSN
0024-3795

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โœฆ Synopsis

For an irreducible stochastic matrix T , we consider a certain condition number c(T ), which measures the stability of the corresponding stationary distribution when T is perturbed. We characterize the strongly connected directed graphs D such that c(T ) is bounded as T ranges over S D , the set of stochastic matrices whose directed graph is contained in D. For those digraphs D for which c(T ) is bounded, we find the maximum value of c(T ) as T ranges over S D .

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