齐次马氏链遍历性的特征值分析

Eigenvalue of Homogenes Markov Chains' Ergodic Property

在假定齐次马氏链转移概率矩阵相似于对角矩阵前提下,应用盖尔圆定理对转移概率矩阵的特征值进行研究,给出了判别齐次马氏链遍历性的一个充要条件。

Assuming that transition probability matrix of homogenes Markov chains is similar to diag- onal matrix, Gerschgorin theorem is applied to study eigenvalue of transition probability matrix. It gives a necessary and sufficient condition about homogenes Markov chains; ergodic property.