# [R] Generating a stochastic matrix with a specified second dominant eigenvalue

David Winsemius dwinsemius at comcast.net
Fri Oct 16 17:19:13 CEST 2009

On Oct 15, 2009, at 6:24 PM, Ravi Varadhan wrote:

> Hi,
>
> Given a positive integer N, and a real number \lambda such that 0 <
> \lambda
> < 1,  I would like to generate an N by N stochastic matrix (a matrix
> with
> all the rows summing to 1), such that it has the second largest
> eigenvalue
> equal to \lambda (Note: the dominant eigenvalue of a stochastic
> matrix is
> 1).
>
> I don't care what the other eigenvalues are.  The second eigenvalue is
> important in that it governs the rate at which the random process
> given by
> the stochastic matrix converges to its stationary distribution.
>
> Does anyone know of an algorithm to do this?

I surely don't. My linear algebra is a distant and not entirely
pleasant memory. I went searching and ended up at Google books reading
a couple of texts on real analysis and stochastic matrices. Both
citations reminded me that a matrix induces or implies a polynomial
form over powers of <some> matrix (? constructed out of the basis
vectors?) with the eigenvalues representing the coefficients. I
believe that form can be solved for, but I don't know the process. It
made me wonder if constructing a matrix out of powers of an
appropriate stochastic basis would deliver the sought for resultant.
Such a construction is outside my abilities.

--
David Winsemius, MD
Heritage Laboratories
West Hartford, CT



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