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Math Help - Quadratic forms

  1. #1
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    Quadratic forms

    If X=[x1,x2,...,xn]' where x1+x2+...+xn=1.
    If A1,A2,...,An are nXn square matrices, all elements are greater than 0 and less than 1.
    The sum of all elements of A1 is n. It is also true for A2,...,An.
    A1+A2+...+An=E, where E is a matrix of all 1s.

    Now we update X by doing followings:

    x1(t+1)=X(t)'*A1*X(t)
    x2(t+1)=X(t)'*A2*X(t)
    ...
    xn(t+1)=X(t)'*An*X(t)

    when t->infinite, what is X?
    Thanks.
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  2. #2
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    I do simulations, when t->infinity, X->[1/n, 1/n, ..., 1/n]

    but I don't know how to prove it.
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  3. #3
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    Quote Originally Posted by hasami2 View Post
    If X=[x1,x2,...,xn]' where x1+x2+...+xn=1.
    If A1,A2,...,An are nXn square matrices, all elements are greater than 0 and less than 1.
    The sum of all elements of A1 is n. It is also true for A2,...,An.
    A1+A2+...+An=E, where E is a matrix of all 1s.

    Now we update X by doing followings:

    x1(t+1)=X(t)'*A1*X(t)
    x2(t+1)=X(t)'*A2*X(t)
    ...
    xn(t+1)=X(t)'*An*X(t)

    when t->infinite, what is X?
    Thanks.
    Quote Originally Posted by hasami2 View Post
    I do simulations, when t->infinity, X->[1/n, 1/n, ..., 1/n]

    but I don't know how to prove it.
    I think you can use Banach's fixed point theorem here, although I don't have all the details worked out.

    Let the map T: R^n \to R^n be defined by T(x)_i = x^T A_i x.

    The assumptions on the A_i imply that \hat{x} = [1/n, \ldots, 1/n] satisfies x = T(x), this is, \hat{x} is a fixed point of T. If you can show that T is a contraction mapping, then the fixed point \hat{x} is unique by Banach's theorem and is the limit of the iterative sequence x^{i+1} = T(x^i).
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  4. #4
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    Quote Originally Posted by hasami2 View Post
    If X=[x1,x2,...,xn]' where x1+x2+...+xn=1.
    If A1,A2,...,An are nXn square matrices, all elements are greater than 0 and less than 1.
    The sum of all elements of A1 is n. It is also true for A2,...,An.
    A1+A2+...+An=E, where E is a matrix of all 1s.

    Now we update X by doing followings:

    x1(t+1)=X(t)'*A1*X(t)x2(t+1)=X(t)'*A2*X(t)
    ...
    xn(t+1)=X(t)'*An*X(t)

    when t->infinite, what is X?
    Thanks.
    Quote Originally Posted by hasami2 View Post
    I do simulations, when t->infinity, X->[1/n, 1/n, ..., 1/n]

    but I don't know how to prove it.
    Quote Originally Posted by JakeD View Post
    I think you can use Banach's fixed point theorem here, although I don't have all the details worked out.

    Let the map T: R^n \to R^n be defined by T(x)_i = x^T A_i x.

    The assumptions on the A_i imply that \hat{x} = [1/n, \ldots, 1/n] satisfies x = T(x), this is, \hat{x} is a fixed point of T. If you can show that T is a contraction mapping, then the fixed point \hat{x} is unique by Banach's theorem and is the limit of the iterative sequence x^{i+1} = T(x^i).
    In trying to prove that T is a contraction map, I found that it is not and does not have a unique fixed point.
    Take

    A_1 = \begin{bmatrix}<br />
.98 & .98 & .01 \\<br />
.98 & .01 & .01 \\<br />
.01 & .01 & .01 \\<br />
\end{bmatrix}, A_2 = \begin{bmatrix}<br />
.01 & .01 & .98 \\<br />
.01 & .98 & .01 \\<br />
.98 & .01 & .01 \\<br />
\end{bmatrix}, A_3 = \begin{bmatrix}<br />
.01 & .01 & .01 \\<br />
.01 & .01 & .98 \\<br />
.01 & .98 & .98 \\<br />
\end{bmatrix}.

    Although [1/3,1/3,1/3] is a fixed point of T, the sequence x^{i+1} = T(x^i) using the starting vector x^0 = [1/2,1/2,0] converges to [0.958314,0.030928,0.010758], not [1/3,1/3,1/3].
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