Find $\lim\limits_{n\to\infty} A^n$

linear algebramatrices

Given $4\times4$ matrix,
$$A=
\begin{bmatrix}
0.4&0.3&0.2&0.1\\
0.1&0.4&0.3&0.2\\
0.3&0.2&0.1&0.4\\
0.2&0.1&0.4&0.3
\end{bmatrix}
.$$

Can we prove that $$\lim\limits_{n\to\infty} A^n=
\begin{bmatrix}
0.25&0.25&0.25&0.25\\
0.25&0.25&0.25&0.25\\
0.25&0.25&0.25&0.25\\
0.25&0.25&0.25&0.25
\end{bmatrix}$$

manually? I tried to find $A^2$, and $A^3$ for a long long time. Any ways to find $\lim\limits_{n\to\infty} A^n$?

Best Answer

The matrix $A$ is almost circulant. If the third and fourth rows were swapped, then it would be. So let's consider an alternative matrix: $B=PA$ where $P$ is the permutation matrix $$P=\begin{bmatrix} 1&0&0&0\\ 0&1&0&0\\ 0&0&0&1\\ 0&0&1&0 \end{bmatrix}.$$ Then $B$ is circulant.

Since it is circulant, it can be diagonalized with the Discrete Fourier Transform (DFT). The DFT values of $(0.4, 0.3, 0.2, 0.1)$ are $$d = \begin{bmatrix} 1.0000 + 0.0000i \\ 0.2000 - 0.2000i \\ 0.2000 + 0.0000i \\ 0.2000 + 0.2000i \end{bmatrix}$$ Therefore, $B=F^\ast D F$, where $D=\text{diag}(d)$, where $F$ is the DFT matrix.

Note that $B^2=B\cdot B = F^\ast D F \cdot F^\ast D F$. But, since $F$ is unitary, $F F^\ast=I$. Therefore, $B^2=F^\ast D^2 F$. Hopefully you can now see that $B^n = F^\ast D^n F$. (This is a common trick.)

Therefore, $$\lim_{N\rightarrow\infty} B^N = \lim_{N\rightarrow\infty} F^\ast D^N F = F^\ast \text{diag}(1,0,0,0)F.$$

Taking the inverse DFT of $(1,0,0,0)$ yields $(0.25,0.25,0.25,0.25)$. And making a circulant matrix from this vector yields your answer.

(Another way to think about this is to ask, what circulant matrix would diagonalize with eigenvalues $(1,0,0,0)$; and that matrix is the specified matrix.)

So how does this relate to our original $A$?

I didn't figure it out. Luckily, there's another person in this thread that appears to have! https://math.stackexchange.com/a/3114768/24205

Related Question