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Asymptotic results on the product of random probability matrices

By X. R. Wang

Abstract

I study the product of independent identically distributed D × D random probability matrices. Some exact asymptotic results are obtained. I find that both the left and the right products approach exponentially to a probability matrix(asymptotic matrix) in which any two rows are the same. A parameter λ is introduced for the exponential coefficient which can be used to describe the convergent rate of the products. λ depends on the distribution of individual random matrices. I find λ = 3/2 for D = 2 when each element of individual random probability matrices is uniformly distributed in [0,1]. In this case, each element of the asymptotic matrix follows a parabolic distribution function. The distribution function of the asymptotic matrix elements can be numerically shown to be non-universal. Numerical tests are carried out for a set of random probability matrices with a particular distribution function. I find that λ increases monotonically from ≃ 1.5 to ≃ 3 as D increases from 3 to 99, and the distribution of random elements in the asymptotic products can be described by a Gaussian function with its mean to be

Topics: Key words, random probability matrix, product, asymptotic behavior
Year: 1997
OAI identifier: oai:CiteSeerX.psu:10.1.1.310.8043
Provided by: CiteSeerX
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