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Transition matrices for well-conditioned Markov chains

โœ Scribed by S.J. Kirkland; Michael Neumann; Jianhong Xu

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
193 KB
Volume
424
Category
Article
ISSN
0024-3795

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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