2011
DOI: 10.1137/090752948
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Ergodicity Coefficients Defined by Vector Norms

Abstract: Ergodicity coefficients for stochastic matrices determine inclusion regions for subdominant eigenvalues; estimate the sensitivity of the stationary distribution to changes in the matrix; and bound the convergence rate of methods for computing the stationary distribution. We survey results for ergodicity coefficients that are defined by p-norms, for stochastic matrices as well as for general real or complex matrices. We express ergodicity coefficients in the one-, two-, and infinitynorms as norms of projected m… Show more

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Cited by 64 publications
(66 citation statements)
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“…(18)- (21) for finite values of K, since the trapezoidal rule and quadrature are used for the numerical integration). Since the discretized SPTO is a positive matrix, the product of discretized SPTOs is weakly ergodic [44,45]. (15) and (16)], and the SPTO P K, ,A i ,I i expresses the relationship between the density just before the ith impulse to that just before the (i + 1)th impulse: The weak ergodicity leads to the following property for any densities h and h : (29) where H n,n 0 = P K, ,A n ,I n P K, ,A n−1 ,I n−1 .…”
Section: E Contribution To the Current State From The Past Statesmentioning
confidence: 99%
“…(18)- (21) for finite values of K, since the trapezoidal rule and quadrature are used for the numerical integration). Since the discretized SPTO is a positive matrix, the product of discretized SPTOs is weakly ergodic [44,45]. (15) and (16)], and the SPTO P K, ,A i ,I i expresses the relationship between the density just before the ith impulse to that just before the (i + 1)th impulse: The weak ergodicity leads to the following property for any densities h and h : (29) where H n,n 0 = P K, ,A n ,I n P K, ,A n−1 ,I n−1 .…”
Section: E Contribution To the Current State From The Past Statesmentioning
confidence: 99%
“…In many papers (see for example, [24,17,31]) the weak ergodicity of nonhomogeneous Markov process are given in terms of Dobrushin's ergodicity coefficient [12]. In [33] some sufficient conditions for weak and strong ergodicity of nonhomogeneous Markov processes are given and estimates of the rate of convergence are proved.…”
Section: Introductionmentioning
confidence: 99%
“…In the simplest case, when all factors in the products are identical to the same stochastic operator T , ergodicity corresponds to the investigation of iterations of T . The Dobrushin's ergodicity coefficient is one of the effective tools to study a behavior of such products (see [17] for review) . Therefore, we will define such a ergodicity coefficient of a positive mapping defined on nonassociative L 1 -space, and study its properties.…”
Section: Introductionmentioning
confidence: 99%
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“…For more on Markov's work see [4]. The column and row variation appear in research literature under various names; see [1,Section 3.3].…”
Section: Definitionsmentioning
confidence: 99%