On the principal eigenvectors of random Markov matrices
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| Format: | Preprint |
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2025
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| author | Calvert, Jacob Hollander, Frank den Randall, Dana |
| author_facet | Calvert, Jacob Hollander, Frank den Randall, Dana |
| contents | We analyze the invariant distributions of continuous-time and discrete-time random walks on randomly weighted complete digraphs. These distributions correspond to the principal left eigenvectors of the associated random Markov generators and kernels, viewed as random matrices. While much is known about the spectra of these matrices, relatively little is known about the principal left eigenvectors, which are delicate random objects for which no explicit form is known. We consider a broad class of such matrices obtained by associating random weights to the vertices and edges of the complete digraph. Our main result concerns the total variation distance between the invariant distribution of the continuous-time random walk and the distribution that is inversely proportional to the vertex weights. It states that, if the edge weights are i.i.d. with a finite $p$-th moment for some $p>4$, then this distance a.s. converges to zero as the number of vertices grows large, even when the vertex weights are heavy-tailed. We further answer a question of Bordenave, Caputo, and Chafaï by showing that, despite the dependence of the entries in the corresponding Markov kernel, its invariant distribution is asymptotically uniform a.s., so long as the edge weights have a finite second moment. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2505_01608 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | On the principal eigenvectors of random Markov matrices Calvert, Jacob Hollander, Frank den Randall, Dana Probability Statistical Mechanics 60J27, 82C05 We analyze the invariant distributions of continuous-time and discrete-time random walks on randomly weighted complete digraphs. These distributions correspond to the principal left eigenvectors of the associated random Markov generators and kernels, viewed as random matrices. While much is known about the spectra of these matrices, relatively little is known about the principal left eigenvectors, which are delicate random objects for which no explicit form is known. We consider a broad class of such matrices obtained by associating random weights to the vertices and edges of the complete digraph. Our main result concerns the total variation distance between the invariant distribution of the continuous-time random walk and the distribution that is inversely proportional to the vertex weights. It states that, if the edge weights are i.i.d. with a finite $p$-th moment for some $p>4$, then this distance a.s. converges to zero as the number of vertices grows large, even when the vertex weights are heavy-tailed. We further answer a question of Bordenave, Caputo, and Chafaï by showing that, despite the dependence of the entries in the corresponding Markov kernel, its invariant distribution is asymptotically uniform a.s., so long as the edge weights have a finite second moment. |
| title | On the principal eigenvectors of random Markov matrices |
| topic | Probability Statistical Mechanics 60J27, 82C05 |
| url | https://arxiv.org/abs/2505.01608 |