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  • Faculty of Design and Creative Technologies (Te Ara Auaha)
  • School of Engineering, Computer and Mathematical Sciences - Te Kura Mātai Pūhanga, Rorohiko, Pāngarau
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The derivation of Markov Chain Properties using Generalized Matrix Inverses

Hunter, JJ
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1112.3404.pdf (4.364Mb)
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http://hdl.handle.net/10292/3278
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Abstract
In many stochastic models a Markov chain is present either directly or indirectly through some form of embedding. The analysis of many problems of interest associated with these models, eg. stationary distributions, moments of first passage time distributions and moments of occupation time random variables, often requires the solution of a system of linear equations involving I – P, where P is the transition matrix of a finite, irreducible, discrete time Markov chain. Generalized matrix inverses play an important role in the solution of such singular sets of equations. In this presentation we survey the application of generalized inverses to the aforementioned problems focussing primarily on Markov chains.
Date
December 15, 2011
Source
Lectures on Matrix and Graph Methods, Manipal Univ Press Eds R.B. Bapat, S.Kirkland, K.M. Prasad, S. Puntanen, pp 61-89, (2012)
Item Type
Book Chapter
Publisher
Manipal Univ Press/arXiv
Publisher's Version
http://arxiv.org/abs/1112.3404
Rights Statement
NOTICE: this is the author’s version of a work that was accepted for publication. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in (see Citation).

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