[Math] Are irreducible, positiv-definite Markov chains aperiodic

markov chainsmatricesmonte carlostochastic-processes

If $M$ is the transition matrix of a discrete Markov chain, and $M$ is both irreducible, symmetric and positiv-definite, is the resulting Markov chain necessarily aperiodic?

In my intuition, periodicity would correspond to an $-1$-eigenvalue of $M$, but I don't know if that is true or how to formalize it.

Best Answer

I think so... Here's my thought.

Let $M$ be an irreducible, symmetric and positive-definite $n\times n$ stochastic matrix, with spectrum $\sigma(M)=\{\lambda_1, \lambda_2,\ldots, \lambda_n\}$.

  • Since $M$ is stochastic, we have that $\lambda_1=1$.
  • Since $M$ is symmetric we have that $M$ is diagonalizable.
  • Since $M$ is positive definite, we have that all eigenvalues of $M$ are positive.

Thus, there exists an invertible matrix $U$ s.t.:

$$M= U \cdot J\cdot U^{-1},$$ where $J=\begin{bmatrix} 1 &&&\\ & \lambda_2 & \\ &&\ddots &\\ &&&\lambda_n\end{bmatrix}$ is the Jordan normal form of $M$.

By Perron - Frobenius theorem for non - negative, irreducible matrices, we have that eigenvalue $\lambda_1=1$, which happens to be the spectral radius of $M$ has algebraic multiplicity $1$ and for all other eigenvalues we have $$|\lambda_i|=\lambda_i<1, \, i=2, \ldots, n.$$

Thus, $$\begin{array}[t]{l} M^k=U\cdot \begin{bmatrix} 1^k & && \\ & \lambda_2^k && \\ &&\ddots & \\ &&& \lambda_n^k\end{bmatrix}\cdot U^{-1}\\\\ \lim_{k\to\infty}M^k=U\cdot \begin{bmatrix} 1 & && \\ & 0 && \\ &&\ddots & \\ &&&0\end{bmatrix}\cdot U^{-1} \end{array}$$ must be a stochastic matrix, since $M^k$ is a stochastic matrix for every $k\in \mathbb N$.

Now it is easy to prove that $$ U \cdot \begin{bmatrix} 1 & && \\ & 0 && \\ &&\ddots & \\ &&&0\end{bmatrix}\cdot U^{-1}=\begin{bmatrix} \pi_1 & \pi_2 & \cdots & \pi_n\\ \pi_1 & \pi_2 & \cdots & \pi_n\\ \vdots & \vdots & \ddots & \vdots\\ \pi_1 & \pi_2 & \cdots & \pi_n\end{bmatrix}=\mathbf{\Pi}$$ plus $\displaystyle \sum_{i=1}^n \pi_i =1$.

Thus, $M$ must be aperiodic, since $\lim_{k\to\infty}M^k$ exists and equals to a stochastic matrix with identical rows.

Note: We can prove that $\mathbf{\Pi}$ has all its elements strictly positive, since $$\pi = \begin{bmatrix} \pi_1 & \cdots & \pi_n\end{bmatrix}$$ is a left eigenvector which corresponds to Perron-Frobenius eigenvalue $\lambda=1$.