Random reversible Markov matrices with tunable extremal eigenvalues
Probability
2015-09-09 v2
Abstract
Random sampling of large Markov matrices with a tunable spectral gap, a nonuniform stationary distribution, and a nondegenerate limiting empirical spectral distribution (ESD) is useful. Fix and . Let be the adjacency matrix of a random graph following , known as the Erd\H{o}s-R\'enyi distribution. Add to each entry of and then normalize its rows. It is shown that the resulting Markov matrix has the desired properties. Its ESD weakly converges in probability to a symmetric nondegenerate distribution, and its extremal eigenvalues, other than 1, fall in for any , where . Thus, for , the spectral gap tends to .
Cite
@article{arxiv.1505.02086,
title = {Random reversible Markov matrices with tunable extremal eigenvalues},
author = {Zhiyi Chi},
journal= {arXiv preprint arXiv:1505.02086},
year = {2015}
}