Direct Solution of the Stochastic Inverse Eigenvalue Problem for Complex-Valued Eigenspectra

We present a direct solution to the problem of constructing a stochastic matrix with prescribed eigenspectrum, widely referred to as the stochastic inverse eigenvalue problem. The solution uses Markov state disaggregation to construct a Markov chain with stochastic transition matrix possessing the required eigenspectrum. Existing solutions that follow the same approach are limited to constructing matrices with real-valued eigenspectra only. The novel solution directly constructs matrices with complex-valued eigenspectra by applying a new disaggregation technique in tandem with a technique from a previous solution. Due to this generalization, the novel solution is able to successfully model physical systems from a larger family. Furthermore, the novel solution constructs the matrix in a finite and predetermined number of iterations, and without numerical approximation. The solution is demonstrated by deriving an expression for a set of 4 x 4 stochastic matrices sharing the same prescribed complex-valued eigenspectrum and indexed by a real parameter.