How can a markov transition matrix have eigenvalues other than 1

markov chainsprobabilitytransition matrix

A Markov transition matrix has all nonnegative entries and so by the Perron-Frobenius theorem has real, positive eigenvalues. In particular the largest eigenvalue is 1 by property 11 here. Furthermore in these notes (sec 10.3) it says that the eigenvalues of $P$ are $1 = \lambda_1 > \lambda_2 \geq \dots \geq \lambda_N \geq -1$.

But how can a transition matrix $P$ have eigenvalues less than 1? Since the matrix is acting on probability distributions $v$, which have to have $\sum_i v_i = 1$, we cannot have $Pv = cv$ with $c\neq 1$ since $\sum_i cv_i = c$.

Best Answer

Maybe a good starting point would be to look at a simple example. The eigenvalues of the transition matrix $\begin{bmatrix} \frac{1}{2} & 1 \\ \frac{1}{2} & 0\end{bmatrix}$ are:

  • $1$, with eigenvector $\begin{pmatrix} \frac{2}{3} \\ \frac{1}{3} \end{pmatrix}$ (the principal eigenvalue giving the stationary Markov distribution)
  • $-\frac{1}{2}$, with eigenvector $\begin{pmatrix} -1 \\ 1\end{pmatrix}$.

Of course, the second one cannot be a probability distribution no matter how we renormalize it, because it has negative entries!

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