A Probabilistic Proof of the Perron-Frobenius Theorem

Abstract: The Perron-Frobenius theorem plays an important role in many areas of management science and operations research. This paper provides a probabilistic perspective on the theorem, by discussing a proof that exploits a probabilistic representation of the Perron-Frobenius eigenvalue and eigenvectors in terms of the dynamics of a Markov chain. The proof provides conditions in both the finite-dimensional and infinite-dimensional settings under which the Perron-Frobenius eigenvalue and eigenvectors exist. Furthermore, the probabilistic representations that arise can be used to produce a Monte Carlo algorithm for computing the Perron-Frobenius eigenvalue and eigenvectors that will be explored elsewhere.