The State Reduction and Related Algorith
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Isaac Sonin
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Article
π
1999
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Elsevier Science
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English
β 221 KB
We discuss the State ReductionΓGTH (Grassmann, Taksar, Heyman) algorithm for recursively finding invariant measure. We demonstrate the relationship between this algorithm and the Freidlin Wentzell ``tree decomposition'' approach to study the characteristics of Markov chains. The structure of the Sta