For a finite irreducible Markov chain satisfying detailed balance with , its transition matrix is a self-adjoint operator for . For a real orthonormal eigenbasis with eigenvalues ,Indeed, apply the spectral decomposition of to the function , whose coefficient against is . For , every eigenvalue multiplier is interpreted as one.
Stationary law of a linear flow network 2026-10-07
For the proportionally fair allocation on a linear flow network, independent Poisson flow arrivals at rates and exponential document sizes of rates give a continuous-time Markov chain with departures . Put . Under for each local route, the normalizing constant is . The binomial coefficient weight has adjacent-state ratios equal to the aggregate service rates, proving detailed balance. For more general network topologies, proportional fairness need not give this reversible product form.
Every full-conditional coordinate update satisfies detailed balance with the target distribution. Their systematic ordered composition preserves the target but need not satisfy detailed balance, since compositions of reversible kernels need not be reversible. A fixed-probability random-scan mixture remains reversible.
Time reversal of a continuous-time Markov chain Created 2026-10-05 Updated 2026-10-06
For an equilibrium chain with strictly positive stationary probabilities, reversed jump rates are . Under detailed balance they equal the original rates, making the stationary path law reversible. Holding times and jump directions reverse together; this is more than symmetry of one-time distributions.