A Probabilistic Proof of the Perron-Frobenius Theorem

Peter W. Glynn; Paritosh Y. Desai

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arXiv · 1808.04964

A Probabilistic Proof of the Perron-Frobenius Theorem

Peter W. Glynn·Paritosh Y. Desai

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Abstract

The Perron-Frobenius theorem plays an important role in many areas of management science and operations research. This paper provides a probabilistic perspective on the theorem, by discussing a proof that exploits a probabilistic representation of the Perron-Frobenius eigenvalue and eigenvectors in terms of the dynamics of a Markov chain. The proof provides conditions in both the finite-dimensional and infinite-dimensional settings under which the Perron-Frobenius eigenvalue and eigenvectors exist. Furthermore, the probabilistic representations that arise can be used to produce a Monte Carlo algorithm for computing the Perron-Frobenius eigenvalue and eigenvectors that will be explored elsewhere.

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BibTeX RIS

Peter W. Glynn, Paritosh Y. Desai. 2018-08-15. A Probabilistic Proof of the Perron-Frobenius Theorem. https://arxiv.org/abs/1808.04964

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