Stochastic pth root approximation of a stochastic matrix: A Riemannian optimization approach

Algorithms for approximating a stochastic pth root of a stochastic matrix using Riemannian optimization.

Manopt

The code uses the optimization algorithms on Riemannian manifold from the Manopt library. The library is included as a git submodule. The code can be obtained from this repository by doing

git clone --recurse-submodules git@github.com:Cirdans-Home/approximate-embedded-markov.git

Older versions of gith may need to do:

git clone --recursive git@github.com:Cirdans-Home/approximate-embedded-markov.git

If none of this works

git clone git@github.com:Cirdans-Home/approximate-embedded-markov.git
cd approximate-embedded-markov
git submodule update --init --recursive

Contributors

• F. Durastante 🔗
• B. Meini 🔗

License

In accordance with the Manopt library, the new code is released under the GNU GENERAL PUBLIC LICENSE Version 3, 29 June 2007 (GPL3).