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Q: Matrix algorithms ( No Answer,   6 Comments )
Subject: Matrix algorithms
Category: Science > Math
Asked by: dvd03-ga
List Price: $75.00
Posted: 10 Aug 2004 07:45 PDT
Expires: 09 Sep 2004 07:45 PDT
Question ID: 385860
I have asked a question at: , but my
investigations now probably warrant a new question, and I'd also like
clarification on some of the points made so far.

Consider the algorithm (1):
	r_(n+1) = c*r_n*M + (1-c)*v
	where:	r_n is a row vector;
		c is a scalar such that 0<c<1;
		M is a square matrix with spectral radius equal to one - 
		so c*M has spectral radius strictly less than one;
		v is a constant row vector.

Can we claim that this algorithm converges (based on the spectral
radius of M - or c*M)? If so, which theorem guarantees this?

Now suppose that this algorithm can be written as (2):
	r_(n+1) = r_n*A
	where	A is a Markov transition matrix.
This algorithm certainly converges, and it converges to the Markov
stationary distribution.

Consider the algorithm (3)
	r_(n+1) = c*r_n*M + (1-c)*s*v
	where 	s is a scalar such that s>0; and	
		the other variables are as before.

Can we claim that (3) converges (Perhaps, again due to spectral radius)?
And, if we can, how does the limit compare with the stationary distribution of (2)?

Many thanks,

Clarification of Question by dvd03-ga on 20 Aug 2004 06:45 PDT
The question above is asked with a view to understanding the relation
between Page & Brin's precise formulation of PageRank (the
personalisation vector of which appears to be a scalar factor too
large, given the supposed Markov underpinnings - Page and Brin's limit
vector does NOT necessarily have one norm equal to one) and a
formulation which does fit in with the claimed Markov framework
(multiplying the personalisation vector by 1/n).

Thanking you in anticipation.

NB When I write "certainly converges", I'm assuming that A is
irreducible and aperiodic.

Request for Question Clarification by mathtalk-ga on 09 Sep 2004 05:56 PDT
Hi, dvd03-ga:

I was unable to find a "good" connection between the solution to the
second problem:

  r_(n+1) = c*r_n*M + (1-c)*s*v

and that of the eigenvalue problem.  Existence and uniqueness of the
solution to the above were established, and at one point I was hopeful
that solving it would shed light on the equilibrium vector of the
Markov chain.

However the information I found from it can be obtained without the
"expense" of solving the large system (I - cM) r = (1-c)s*v.

best wishes, mathtalk-ga
There is no answer at this time.

Subject: Re: Matrix algorithms
From: kprema-ga on 16 Aug 2004 20:24 PDT
Hi: Let us write out an explicit eqn for r(n).
  r(1) = c*M*r(0) + (1-c)*v; 
  r(2) = c^2*M^2*r(0) + c*(1-c)*M*v + (1-c)*v; 
  r(3) = c^3*M^3*r(0) + c^2*(1-c)*M^2*v + c*(1-c)*M*v + (1-c)*v; and
so on.  In fact, it is not too hard to show that the general eqn is:

  r(n) = c^n*M^n*r(0) + (1-c)*\sum_{i=0}^{n-1} c^i*M^i*v.

Here, \sum_{i=0}^{n-1} denotes the sum of terms from i=0 to i=n-1 (I
am using LaTeX commands---I am sure you who are familiar with it).

Now, let us look at this expression for r(n).  Clearly, as n tends to
infinity, c^n*M^n*r(0) tends to zero because c*M has a spectral radius
that is strictly less than unity.  What about the summation term? 
Well, we know that

  \sum_{i=0}^{\infty} (c*M)^i = (I-c*M)^{-1}.

Note that, this inverse is guaranteed to exist because the spectral
radius of c*M is strictly less than unity.  In essence, I believe the
eqn converges to

  \lim_{n\to\infty} r(n) = (1-c)*(I-c*M)^{-1}*v.

Of course, there is always the possibility that all what I have said
above is utter nonsense.

Subject: Re: Matrix algorithms
From: kprema-ga on 17 Aug 2004 07:21 PDT
Simply continuing on my previous comment: I do now realize that this
discussion has been going on for a while (I am a newbee for this). 
So, it is quite possible that the converging solution I provided has
already been given (although I am perhaps using a more direct method).
 Nevertheless, let me comment on your (3), i.e.,
  r_(n+1) = c*r_n*M + (1-c)*s*v
where s is a scalar such that s>0; and the other variables are as
before.  If you follow the development I previously indicated, I think
one gets the solution to (3) as

  \lim_{n\to\infty} r(n) = (1-c)*s*(I-c*M)^{-1}*v.

Am I right?

Subject: Re: Matrix algorithms
From: mathtalk-ga on 17 Aug 2004 09:16 PDT
Your analysis is correct (but notice the direction of the row-matrix
multiplication).  There are two issues.  One is that _if_ the
iteration converges, the limit r would have to satisfy:

  r = c*rM + (1-c)*s*v


  r*(I - cM) = (1-c)*s*v

  r = (1-c)*s*v (I - cM)^-1

The other issue is whether the iteration converges.  Apart from the
direction of the matrix multiplication, your inductive formula for r_n
is correct and converges as a consequence of the spectral radius < 1.

Note that (I - cM) could be invertible (and hence used to define r
above) without the spectral radius being less than 1 (we only need
that 1/c doesn't belong to the eigenvalues or "spectrum" of M).  But,
as your analysis shows, the spectral radius plays a key role in
convergence because without that either the terms c^n r_0 M^n or the
matrix series might grow unboundedly.

regards, mathtalk-ga
Subject: kprema
From: dvd03-ga on 20 Aug 2004 08:09 PDT
Thank you for your thoughts.

Just a quick question:
How do we know that: \sum_{i=0}^{\infty} (c*M)^i = (I-c*M)^{-1} ?

Thanking you in anticipation.
Subject: Re: Matrix algorithms
From: kprema-ga on 20 Aug 2004 10:10 PDT
Hi dvd03:

This is the matrix equivalent of the "geometric series."  I will use
the same technique to prove it:


(1)  S_N = \sum_{i=0}^N A^i = I + A + A^2 + ... + A^N,

where A is a square matrix and I is the corresponding identity matrix.  Then

(2)  A*S_N = A + A^2 + A^3 + ... + A^N + A^{N+1}.

Subtract (2) from (1):

(3) (I-A)*S_N = I-A^{N+1}.

So, if A has no eigenvalue at 1, we get

(4) S_N = inv(I-A)*(I-A^{N+1}).

What happens when N tends to infinity?  Well, if the absolute values
of all eigenvalues of A are strictly less than 1, we know that A^{N+1}
would vanish in the limit.  Then, we get

(5) S_{infty} = \sum_{i=0}^{infty} A^i = inv(I-A).

That's basically it.  Hope it helps.

Subject: Re: Matrix algorithms
From: dvd03-ga on 21 Aug 2004 02:54 PDT
Many thanks.
You've been very helpful.

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