Overcoming Instability In Computing The Fundamental Matrix For A Markov Chain
โ Scribed by Heyman, Daniel P.; O'Leary, Dianne P.
- Book ID
- 118215415
- Publisher
- Society for Industrial and Applied Mathematics
- Year
- 1998
- Tongue
- English
- Weight
- 601 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0895-4798
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
A simple probabilistic algorithm is given for the determination of the fundamental matrix of a block M/G/1 Markov chain. The algorithm does not require the chain to be positive recurrent. A prima facie case for its value is made with a standard testbench example.
We consider iterative methods for t;le minimal nonnegativc :~oiu)i()n of the matrix equation G = ~, (), ,G', where the matrices ,4, are nonnegative and \'~ ,)..I, is stocha:4ic. Convergence theory lbr an 'inversion frec algorithm is established. The convergence rale of this algorithm is sho,s'.i ~o