随机矩阵（stochastic matrix）

最新推荐文章于 2022-02-28 12:01:01 发布
最新推荐文章于 2022-02-28 12:01:01 发布
阅读量1.2k 收藏 8
点赞数 1
文章标签： 数据结构与算法
原文链接：http://www.cnblogs.com/startover/p/3141624.html
版权
本文介绍了随机矩阵在PageRank排序算法中的核心地位，探讨了随机矩阵的主特征值为1的性质。通过行随机矩阵的概念，证明了随机矩阵的谱半径为1，从而说明最大特征值为1。随机矩阵的主特征值及其与其他特征值的比值对幂法收敛速度和PageRank稳定性有重要影响。
摘要由CSDN通过智能技术生成

      最近一个月来一直在看Google排序的核心算法---PageRank排序算法[1][2]，在多篇论文中涉及到图论、马尔可夫链的相关性质说明与应用[3][4][5]，而最为关键，一直让我迷惑的一句话是"A stochastic matrix has principal/primary eigenvalue 1"[3][4][5][6][7][8]。可能对于系统学习过矩阵理论的人，它很平淡，不值得单独拿出来讨论或者说明。而我在此不得不承认自己的无知。尽管在高等代数中学习过关于矩阵性质的一些讨论，但从来没有接触过所谓的随机矩阵(Stochastic Matrix)，更不要说其性质了。于是，我从网上努力的寻找相关文献，但结果不是特别理想，并没有关于随机矩阵的详细介绍以及相关性质的证明。我想也许一方面是我搜索技术还不成熟，或者是搜索的关键词不准确，亦或者是网上关于它的资料本就很缺乏。在这里我想将最近搜集的相关资料拿出来整理一下思路，以备将来之用，也是对自己学习的一个真实记录和督促。

 随机矩阵实际上是非负矩阵(Nonnegative matrix)的一类，而非负矩阵是指矩阵元素都是非负(Nonnegative)的，当然非负要与正矩阵（Positive matrix）进行细微的区分。非负矩阵在计算数学、图论、线性规划、自动控制等领域有着广泛的应用，对其特征值，尤其是最大特征值（注意这里的最大是从模的角度或者说是绝对值概念上的最大）特征值，也就是矩阵的主特征值（principal/primary eigenvalue）的估计有很重要的意义[9]。

 

       随机矩阵说来如此之重要，那么到底什么样的矩阵才是随机矩阵呢？假如随便给你一个非负矩阵，该如何判定它是否属于随机矩阵呢？

最低0.47元/天 解锁文章
weixin_30505225
关注
  • 1
    点赞
  • 踩
  • 8
    收藏
    觉得还不错? 一键收藏
  • 0
    评论
实现产生随机矩阵
11-19
1、 利用随机数生成两个4×4的矩阵A和B，前者范围为30~70，后者范围为101~135。 要求： ① 将两个矩阵相加结果放入C矩阵。 ② 将矩阵A转置。 ③ 求C矩阵中元素的最大值和下标。 ④ 以下三角形式显示A，上三角形式显示B。 ⑤ 将矩阵B第一行与第三行对应元素交换位置并输出。 注：java中可以调用Math. random()函数生成一个大于0，小于1的数值。 要求：类名称为Assignment1_3。
既约随机矩阵的一些性质 (1999年)
05-10
1. 随机矩阵（Stochastic Matrix）：在概率论中，随机矩阵用于描述马尔可夫链（Markov chain）的状态转移。一个随机矩阵是一个方阵，其每一行的元素之和等于1，并且矩阵中的所有元素都是非负的。 2. 广义随机矩阵...
随机矩阵（stochastic matrix）与 PageRank
热门推荐
02-01 1万+
随机矩阵实际上是一种特殊的非负矩阵（non-negative matrix），非负矩阵是指矩阵元素都是非负（non-negative）的，当然非负要与正矩阵（Positive Matrix，所有元素都大于0）进行细微的区分。References[1] 随机矩阵（stochastic matrix）
随机矩阵Left stochastic matrix, Right stochastic matrix, Doubly stochastic matrix,置换矩阵Permutation Matrix
Codefmeister's BLOG
02-06 785
Stochastic Matrix Definition: In mathematics, a stochastic matrix is a square matrix used to describe the transitions of a Markov chain. Each of its entries is a nonnegative real number representing a probability. It is also called a probability matrix, t
stochastic matrix
#+!
11-09 593
In mathematics, a stochastic matrix[1] (also termed probability matrix,[1] transition matrix,[1][2] substitution matrix, or Markov matrix[1]) is a square matrix[1] used to describe the trans
矩阵教程之一：随机矩阵
08-19 7593
·这是一个囊括了方阵、三角阵、纯量阵、转置矩阵与随机矩阵的教程，也涉及矩阵的秩，有向图和马尔可夫链相关内容。 主题包括： 1、 关于这个数学教程 2、方阵的主对角线与迹 3、行向量、列向量、纯量阵与转置矩阵 4、矩阵的秩 5、神秘的随机矩阵 6、有向图、入度
随机矩阵（区别于向量）
qq_39227541的博客
10-12 685
描述随机矩阵的方法是将其向量化后进行计算它的协方差矩阵，然后来定义随机矩阵的分布。
Matrix Algebra Motivated by Essentially Stochastic Matricm (1987年)
05-10
1987年发表的论文《Matrix Algebra Motivated by Essentially Stochastic Matrices》(矩阵代数受到本质随机矩阵的启发)中，作者探讨了本质随机矩阵的概念并扩展了这一理论。在此，将根据提供的信息对论文中的知识点...
论文研究-图优化的低秩双随机分解聚类.pdf
07-22
低秩双随机矩阵分解聚类（low-rank doubly stochastic matrix decomposition for cluster analysis，DCD）通过最小化KL（Kullback-Leibler）散度准则：KL（A，S），从图关联矩阵S中获得一个非负低秩双随机矩阵分解：...
Large-Scale Matrix Factorization with Distributed Stochastic Gradient Descent
02-19
### 大规模矩阵分解与分布式随机梯度下降 #### 摘要 本文提出了一种新的算法，可以近似地对具有数百万行、数百万列以及数十亿非零元素的大规模矩阵进行分解。该方法基于随机梯度下降（SGD），这是一种迭代式的随机...
RMT_Theory_Applications:随机矩阵理论的一些重要性质及其在多个领域中的应用
05-15
RMT_Theory_Applications 随机矩阵理论的一些重要性质及其在多个领域中的应用
经典的针对无线通信的随机矩阵理论，针对性强
03-04
比较难得的无线通信领域的随机矩阵书籍，理论和实践结合的比较紧密，实用性比较强，可以缩短从数学理论到研究应用的时间。
经典随机矩阵理论入门书：Random Matrices (Mehta,
01-27
This book gives a coherent and detailed description of analytical methods devised to study random matrices. These methods are critical to the understanding of various fields in in mathematics and mathematical physics, such as nuclear excitations, ultrasonic resonances of structural materials, chaotic systems, the zeros of the Riemann and other zeta functions. More generally they apply to the characteristic energies of any sufficiently complicated system and which have found, since the publication of the second edition, many new applications in active research areas such as quantum gravity, traffic and communications networks or stock movement in the financial markets. This revised and enlarged third edition reflects the latest developements in the field and convey a greater experience with results previously formulated. For example, the theory of skew-orthogoanl and bi-orthogonal polynomials, parallel to that of the widely known and used orthogonal polynomials, is explained here for the first time.
大维随机矩阵的谱分析理论
04-28
Spectral Analysis of Large Dimensional Random Matrices(Second Edition) Zhidong Bai, Jack W.Silverstein 详细介绍了大维随机矩阵的特征值分布理论This book is dedicated to Professor Calyampudi radhakrishna rao's 90th Birthday Professor UIf Grenander's 87th Birthday Professor Yongquan Yins 80th Birthday and to My wife, Xicun Dan, my sons Li and steve gang, and grandsons Yongji, and Yonglin Zhidong bai My children, Hila and Idan ck W. silverstein Preface to the second edition The ongoing developments being made in large dimensional data analysis continue to generate great interest in random matrix theory in both theoret ical investigations and applications in many disciplines. This has doubtlessly contributed to the significant demand for this monograph, resulting in its first printing being sold out. The authors have received many requests to publish a second edition of the book Since the publication of the first edition in 2006, many new results have been reported in the literature. However, due to limitations in space, we cannot include all new achievements in the second edition. In accordance with the needs of statistics and signal processing, we have added a new chapter on the limiting behavior of eigenvectors of large dimensional sample covariance matrices. To illustrate the application of rmt to wireless communications and statistical finance, we have added a chapter on these areas. Certain new developments are commented on throughout the book. Some typos and errors found in the first edition have been corrected The authors would like to express their appreciation to Ms Li Hong for her help in the preparation of the second edition. They would also like to thank Professors Ying-Chang Liang, Zhaoben Fang, Baoxue Zhang, and Shurong Zheng, and Mr Jiang Hu, for their valuable comments and suggestions. They also thank the copy editor, Mr. Hal Heinglein, for his careful reading, cor rections, and helpful suggestions. The first author would like to acknowledge the support from grants NSFC 10871036, NUS R-155-000-079-112, and R- 155-000-096-720 Changchun, China, and Singapore Zhidong Bai Cary, North Carolina, USA Jack w. silverstein March 2009 Preface to the first edition This monograph is an introductory book on the theory of random matri- Ces(RMT). The theory dates back to the early development of quantum mechanics in the 1940s and 1950s. In an attempt to explain the complex or- ganizational structure of heavy nuclei, E. Wigner, Professor of Mathematical Physics at Princeton University, argued that one should not compute energy levels from Schrodingers equation. Instead, one should imagine the complex nuclei system as a black box described by n x n Hamiltonian matrices with elements drawn from a probability distribution with only mild constraints dictated by symmetry considerations. Under these assumptions and a mild condition imposed on the probability measure in the space of matrices, one finds the joint probability density of the n eigenvalues. Based on this con sideration, Wigner established the well-known semicircular law. Since then RMT has been developed into a big research area in mathematical physics and probability. Its rapid development can be seen from the following statis tics from the mathscinet database under keyword Random Matrix on 10 June 2005(able0.1) Table 0.1 Publication numbers on rMT in 10 year periods since 1955 1955-19641965-19741975-19841985-199419952004 138 249 0.5 1205 Modern developments in computer science and computing facilities moti- vate ever widening applications of rmt to many areas In statistics, classical limit theorems have been found to be seriously in adequate in aiding in the analysis of very high dimensional data In the biological sciences, a DNA sequence can be as long as several billion trands. In financial research, the number of different stocks can be as large as tens of thousands In wireless communications. the number of users can be several million Preface to the first edition All of these areas are challenging classical statistics. Based on these needs the number of researchers on RMT is gradually increasing. The purpose of this monograph is to introduce the basic results and methodologies developed in RMT. We assume readers of this book are graduate students and beginning researchers who are interested in RMT. Thus, we are trying to provide the most advanced results with proofs using standard methods as detailed as we can After more than a half century, many different methodologies of RMT have been developed in the literature. Due to the limitation of our knowledge and length of the book, it is impossible to introduce all the procedures and results What we shall introduce in this book are those results obtained either under moment restrictions using the moment convergence theorem or the Stieltjes transform In an attempt at complementing the material presented in this book, we have listed some recent publications on rMt that we have not introduced The authors would like to express their appreciation to Professors Chen Mufa, Lin Qun, and Shi Ningzhong, and Ms Li hong for their encouragement Lnd help in the preparation of the manuscript. They would also like to thank Professors Zhang Baoxue, Lee Sungchul, Zheng Shurong, Zhou Wang, and Hu guorong for their valuable comments and suggestions Changchun. China Zhidong Bai Cary, North Carolina, USA Jack W. silverstein June 2005 Contents Preface to the Second edition Preface to the first edition 1 Introduction 1.1 Large Dimensional Data Analysis 1.2 Random Matrix Theory 1.2.1 Spectral Analysis of Large Dimensional Random matrices 1.2.2 Limits of Extreme Eigenvalues 1.2.3 Convergence Rate of the ESD 1144667 1.2.4 Circular law 1.2.5 CLT of Linear Spectral Statistics 1.2.6 Limiting Distributions of Extreme Eigenvalues and spacings 3 Methodologies 678999 1.3.1 Moment method 1.3.2 Stieltjes Transform 1.3.3 Orthogonal Polynomial Decomposition 1.3.4 Free Probability 13 2 Wigner Matrices and Semicircular Law 2. 1 Semicircular law by the moment Method 16 2.1.1 Moments of the Semicircular law 16 2.1.2 Some Lemmas in Combinatorics 16 2.1.3 Semicircular Law for the iid Case 2.2 Generalizations to the non-iid case 2.2.1 Proof of Theorem 2.9 2.3 Semicircular Law by the Stieltjes Transform 2.3.1 Stieltjes Transform of the Semicircular Law 31 2.3.2 Proof of Theorem 2.9 33 Contents 3 Sample Covariance Matrices and the Marcenko-Pastur Law 39 3.1 M-P Law for the iid Case 40 3.1.1 Moments of the M-p law 40 3.1.2 Some Lemmas on Graph Theory and Combinatorics 41 3.1. 3 M-P Law for the iid case 47 3.2 Generalization to the Non-iid Case 51 3.3 Proof of Theorem 3. 10 by the Stieltjes Transform 3.3.1 Stieltjes Transform of the M-P Law 3.3.2 Proof of Th 3.10 53 4 Product of wo random matrices 4.1 Main Results 60 4.2 Some Graph Theory and Combinatorial Results 61 4.3 Proof of theorem 4.1 68 4.3.1 Truncation of the ESd of Tn 68 4.3.2 Truncation, Centralization, and Rescaling of the X-variables 4.3.3 Completing the Proof 4.4 LSd of the F-Matrix 4.4.1 Generating Function for the LSD of SnTn 4.4.2 Completing the Proof of Theorem 4.10 4.5 Proof of Theorem 4.3 4.5.1 Truncation and centralization 4.5.2 Proof by the Stieltjes Transform 82 5 Limits of Extreme Eigenvalues 5.1 Limit of Extreme Eigenvalues of the Wigner Matrix 92 5.1.1 Sufficiency of Conditions of Theorem 5.1 93 5.1.2 Necessity of Conditions of Theorem 5.1 101 5.2 Limits of Extreme Eigenvalues of the Sample Covariance Matrix 105 5.2.1 Proof of Theorem 5.10 10 5.2.2 Proof of Theorem 5.11 113 5.2.3 Necessity of the Conditions 113 5.3 Miscellanies 114 5.3.1 Spectral Radius of a Nonsymmetric Matrix 114 5.3.2 TW Law for the Wigner Matrix 115 5.3.3 TW Law for a Sample covariance Matrix 117 6 Spectrum Separation 119 6. 1 What Is spectrum Separation? 119 6.1.1 Mathematical Tools 126 6.2 Proof of(1) 128 6.2.1 Truncation and Some Simple facts 128 6.2.2 A Preliminary Convergence Rate 129 6.2.3 Convergence of Sn-Esn 139 6.2.4 Convergence of the Expected value 144 6.2.5 Completing the Proof 148 3 Proof of (2) 149 6.4 Proof of(3) 151 6.4.1 Convergence of a Random Quadratic Fol 151 6.4.2 spread of eigenvalues Spread of Eigenvalues 154 6.4.3 Dependence on y 157 6.4.4 Completing the Proof of (3) 160 7 Semicircular Law for Hadamard Products 165 7. 1 Sparse Matrix and Hadamard Product 16 7.2 Truncation and normalization 168 7. 2. 1 Truncation and Centralization 169 7. 3 Proof of Theorem 7.1 by the Moment Approach 172 8 Convergence Rates of ESD 181 8.1 Convergence Rates of the Expected ESD of Wigner Matrices. 181 8.1.1 Lemmas on Truncation, Centralization, and Rescaling. 182 8.1.2 Proof of Theorem 8.2 185 8.1.3 Some Lemmas on Preliminary calculation 189 8.2 Further Extensions ..194 8.3 Convergence Rates of the Expected ESD of Sample Covariance matrices 195 8.3.1 Assumptions and results 195 8.3.2 Truncation and Centralization 197 8.3.3 Proof of Theorem 8.10 198 8.4 Some Elementary calculus 204 8.4.1 Increment of M-P Density .204 8.4.2 Integral of Tail Probability 206 8.4.3 Bounds of Stieltjes Transforms of the M-P Law 207 8.4.4 Bounds for b 209 8.4.5 Integrals of Squared Absolute Values of Stielties Transform 8.4.6 Higher Central Moments of Stieltjes Transforms 213 8.4.7 Integral of o 217 8.5 Rates of Convergence in Probability and Almost Surely 9 ClT for Linear Spectral Statistics .223 9. 1 Motivation and Strategy 223 9.2 clt of lss for the Wigner matrix 227 9.2.1 Strategy of the Proof 229 9.2.2 Truncation and renormalization 231 9.2.3 Mean Function of M 232 9.2.4 Proof of the Nonrandom Part of (9. 2. 13) for j=l, 238 Contents 9.3 Convergence of the Process Mn-EMn 239 9.3.1 Finite-Dimensional Convergence of Mn-EMn 239 9.3.2 Limit of S1 242 9.3.3 Completion of the Proof of(9.2. 13) for j=l,r 250 9.3.4 Tightness of the Process Mn(z)-EMn(z) 251 9.4 Computation of the Mean and Covariance Function of G(f). 252 9.4.1 Mean Function ..252 9.4.2 Covariance Function 254 9.5 Application to Linear Spectral Statistics and Related results 256 9.5. 1 Tchebychev polynomials 256 9.6 Technical lemmas .257 9.7 CLT of the LSS for Sample Covariance Matrices 259 9.7.1 Truncation 261 9.8 Convergence of Stieltjes Transforms 263 9.9 Convergence of Finite-Dimensional Distributions 269 9.10 Tightness of Mn(z) 280 9.11 Convergence of M2(2) 286 9.12 Some Derivations and calculations ....292 9. 12.1 Verification of(9.8.8 292 9. 12. 2 Verification of(9.8.9) ......295 9. 12.3 Derivation of Quantities in Example (1.1) 296 9. 12.4 Verification of Quantities in Jonsson's results 298 9. 12.5 Verification of( 9.7. 8) and(9.7.9) ...300 9.13 CLT for the F-matrix 304 9.13.1 CLT for Lss of the F-matrix 306 9. 14 Proof of Theorem 9.14 308 9.14.1 Lemmas 308 9. 14.2 Proof of Theorem 9.14 318 9. 15 CLT for the LSS of a Large Dimensional Beta-Matrix 325 9.16 Some Examples 326 10 Eigenvectors of Sample Covariance Matrices 331 10.1 Formulation and Conjectures 10.1.1 Haar Measure and haar Matrices 332 10.1.2 Universality .335 10.2 A Necessary Condition for Property 5 ..336 10.3 Moments of Xp(FSp) 339 10.31 Proof of(10.3.1)→(10.3.2) .340 10.3.2 Proof of(b) 341 10.33 Proof of(10.3.2)→(10.3.1) 341 10.3.4 Proof of(c) 349 10.4 An Example of Weak Convergence .349 10.4.1 Converting to D0, oo) 350 10.4.2 A New Condition for Weak Convergence 357
论文研究-Stochastic H2/H8 design with spectrum constraint.pdf
08-15
在系统算子谱配置问题中，将系统算子的谱配置到一个带状区域内，此过程是通过解决一个线性矩阵不等式（Linear Matrix Inequality, LMI）的最优化问题来实现的。这表明，设计者运用了现代控制理论中的数学工具，将...
随机矩阵点
编程视觉
09-10 375
左右转置系数相乘
利用随机矩阵理论(random matrix theory)确定微生物网络构建阈值
微生物生态学分析
02-28 4461
利用随机矩阵理论(random matrix theory)确定微生物网络构建阈值
随机生成元素升序向量_高维概率(4): 随机矩阵
weixin_33269198的博客
12-31 242
B站视频对应地址https://www.bilibili.com/video/BV1bp4y1U7gw https://www.bilibili.com/video/BV1Bt4y197oE https://www.bilibili.com/video/BV1Vg4y1v75b-------提示：该文章的作者是大四学生，内容多有不足之处。如果有事实性错误一定要指出，有任何建议也可以戳我，感谢感谢。...
建立随机矩阵，及生成新矩阵
qq_41818544的博客
01-02 3987
 首先要说的是建立随机数： 用rand()函数建立（0,1）之间的随机数。 使用rand(n , n);  建立二维n * n的随机矩阵。     A = [1, 2 ,3;        4, 5, 6;        7 ,8, 9];   triu(A);                %输出上三角 输出： ans =      1     2     3    ...
评论
添加红包

请填写红包祝福语或标题

个

红包个数最小为10个

元

红包金额最低5元

当前余额3.43元 前往充值 >
需支付：10.00元
成就一亿技术人!
领取后你会自动成为博主和红包主的粉丝 规则
hope_wisdom
发出的红包
实付元
使用余额支付
点击重新获取
扫码支付
钱包余额 0

抵扣说明：

1.余额是钱包充值的虚拟货币，按照1:1的比例进行支付金额的抵扣。
2.余额无法直接购买下载，可以购买VIP、付费专栏及课程。

余额充值