A stochastic matrix is an matrix with nonnegative entries and unit row sums. If is stochastic then , where is the vector of ones. This means that is an eigenvector of corresponding to the eigenvalue .
The identity matrix is stochastic, as is any permutation matrix. Here are some other examples of stochastic matrices:
For any matrix , the spectral radius is bounded by for any norm. For a stochastic matrix, taking the -norm (the maximum row sum of absolute values) gives , so since we know that is an eigenvalue, . It can be shown that is a semisimple eigenvalue, that is, if there are eigenvalues equal to then there are linearly independent eigenvectors corresponding to (Meyer, 2000, p. 696).
A lower bound on the spectral radius can be obtained from Gershgorin’s theorem. The th Gershgorin disc is defined by , which implies . Every eigenvalue lies in the union of the discs and so must satisfy
The lower bound is positive if is strictly diagonally dominant by rows.
If and are stochastic then is nonnegative and , so is stochastic. In particular, any positive integer power of is stochastic. Does converge as ? The answer is that it does, and the limit is stochastic, as long as is the only eigenvalue of modulus , and this will be the case if all the elements of are positive (by Perron’s theorem). The simplest example of non-convergence is the stochastic matrix
which has eigenvalues and . Since , all even powers are equal to and all odd powers are equal to . For the matrix (1), for all , while for (2), as . For (3), converges to the matrix with in every entry of the first column and zeros everywhere else.
Stochastic matrices arise in Markov chains. A transition matrix for a finite homogeneous Markov chain is a matrix whose element is the probability of moving from state to state over a time step. It has nonnegative entries and the rows sum to , so it is a stochastic matrix. In applications including finance and healthcare, a transition matrix may be estimated for a certain time period, say one year, but a transition matrix for a shorter period, say one month, may be needed. If is a transition matrix for a time period then a stochastic th root of , which is a stochastic solution of the equation , is a transition matrix for a time period a factor smaller. Therefore (years to months) and (weeks to days) are among the values of interest. Unfortunately, a stochastic th root may not exist. For example, the matrix
has no th roots at all, let alone stochastic ones. Yet many stochastic matrices do have stochastic roots. The matrix (3) has a stochastic th root for all , as shown by Higham and Lin (2011), who give a detailed analysis of th roots of stochastic matrices. For example, to four decimal places,
A stochastic matrix is sometime called a row-stochastic matrix to distinguish it from a column-stochastic matrix, which is a nonnegative matrix for which (so that is row-stochastic). A matrix that is both row-stochastic and column-stochastic is called doubly stochastic. A permutation matrix is an example of a doubly stochastic matrix. If is a unitary matrix then the matrix with is doubly stochastic. A magic square scaled by the magic sum is also doubly stochastic. For example,
>> M = magic(4), A = M/sum(M(1,:)) % A is doubly stochastic. M = 16 2 3 13 5 11 10 8 9 7 6 12 4 14 15 1 A = 4.7059e-01 5.8824e-02 8.8235e-02 3.8235e-01 1.4706e-01 3.2353e-01 2.9412e-01 2.3529e-01 2.6471e-01 2.0588e-01 1.7647e-01 3.5294e-01 1.1765e-01 4.1176e-01 4.4118e-01 2.9412e-02 >> [sum(A) sum(A')] ans = 1 1 1 1 1 1 1 1 >> eig(A)' ans = 1.0000e+00 2.6307e-01 -2.6307e-01 8.5146e-18
- Nicholas J. Higham and Lijing Lin, On th Roots of Stochastic Matrices, Linear Algebra Appl. 435, 448–463, 2011.
- Carl D. Meyer, Matrix Analysis and Applied Linear Algebra, Society for Industrial and Applied Mathematics, Philadelphia, PA, USA, 2000.
Related Blog Posts
- What Is a Fractional Matrix Power? (2020)
- What Is a Matrix Norm? (2021)
- What Is a Permutation Matrix? (2022)
- What Is an Eigenvalue? (2022)
- What Is Gershgorin’s Theorem? (2022)
- What Is the Perron–Frobenius Theorem? (2021)
This article is part of the “What Is” series, available from https://nhigham.com/category/what-is and in PDF form from the GitHub repository https://github.com/higham/what-is.