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Consensus and Products of Random Stochastic Matrices: Exact Rate for Convergence in Probability
Distributed consensus and other linear systems with system stochastic
matrices emerge in various settings, like opinion formation in social
networks, rendezvous of robots, and distributed inference in sensor networks.
The matrices are often random, due to, e.g., random packet dropouts in
wireless sensor networks. Key in analyzing the performance of such systems is
studying convergence of matrix products . In this paper, we
find the exact exponential rate for the convergence in probability of the
product of such matrices when time grows large, under the assumption that
the 's are symmetric and independent identically distributed in time.
Further, for commonly used random models like with gossip and link failure, we
show that the rate is found by solving a min-cut problem and, hence, easily
computable. Finally, we apply our results to optimally allocate the sensors'
transmission power in consensus+innovations distributed detection
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