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The ensemble of random Markov matrices

2 December 2008
M. Horvat
ArXiv (abs)PDFHTML
Abstract

The ensemble of random Markov matrices is introduced as a set of Markov or stochastic matrices with the maximal Shannon entropy. The statistical properties of the stationary distribution pi, the average entropy growth rate hhh and the second largest eigenvalue nu across the ensemble are studied. It is shown and heuristically proven that the entropy growth-rate and second largest eigenvalue of Markov matrices scale in average with dimension of matrices d as h ~ log(O(d)) and nu ~ d^(-1/2), respectively, yielding the asymptotic relation h tau_c ~ 1/2 between entropy h and correlation decay time tau_c = -1/log|nu| . Additionally, the correlation between h and and tau_c is analysed and is decreasing with increasing dimension d.

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