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Recursive Algorithm for the Fundamental/Group Inverse Matrix of a Markov Chain from an Explicit Formula

✍ Scribed by Sonin, Isaac; Thornton, John

Book ID: 118216296
Publisher: Society for Industrial and Applied Mathematics
Year: 2001
Tongue: English
Weight: 193 KB
Volume: 23
Category: Article
ISSN: 0895-4798
DOI: 10.1137/s0895479899351234

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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.