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On optimal condition numbers for Markov chains

โœ Scribed by Stephen J. Kirkland; Michael Neumann; Nung-Sing Sze


Book ID
105879021
Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
232 KB
Volume
110
Category
Article
ISSN
0029-599X

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Let P be the transition matrix for an n-state, homogeneous, ergodic Markov chain. Set Q = I -P and let Q # = [q # i,j ] be the group (generalized) inverse of Q. A well-known condition number, due to Funderlic and Meyer, which is used in the error analysis for the computation of the stationary distri

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