The Computation of Key Properties of Markov Chains via Perturbations
| aut.embargo | false | en_NZ |
| aut.publication.place | Ithaca, N.Y., U.S.A. | en_NZ |
| aut.relation.reportnumber | arXiv.1602.05247 | en_NZ |
| aut.researcher | Hunter, Jeffrey | |
| dc.contributor.author | Hunter, J | en_NZ |
| dc.date.accessioned | 2016-10-11T02:54:17Z | |
| dc.date.available | 2016-10-11T02:54:17Z | |
| dc.date.copyright | 2016-02-17 | en_NZ |
| dc.date.issued | 2016-02-17 | en_NZ |
| dc.description.abstract | Computational procedures for the stationary probability distribution, the group inverse of the Markovian kernel and the mean first passage times of a finite irreducible Markov chain, are developed using perturbations. The derivation of these expressions involves the solution of systems of linear equations and, structurally, inevitably the inverses of matrices. By using a perturbation technique, starting from a simple base where no such derivations are formally required, we update a sequence of matrices, formed by linking the solution procedures via generalized matrix inverses and utilising matrix and vector multiplications. Four different algorithms are given, some modifications are discussed, and numerical comparisons made using a test example. The derivations are based upon the ideas outlined in Hunter, J.J., “The computation of stationary distributions of Markov chains through perturbations”, Journal of Applied Mathematics and Stochastic Analysis, 4, 29-46, (1991). | en_NZ |
| dc.identifier.citation | arXiv:1602.05247 [math.PR] | |
| dc.identifier.uri | https://hdl.handle.net/10292/10081 | |
| dc.publisher | arXiv, Cornell University Library | en_NZ |
| dc.relation.uri | https://arxiv.org/abs/1602.05247 | en_NZ |
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| dc.rights.accessrights | OpenAccess | en_NZ |
| dc.subject | Markov chain; Stochastic matrix; Stationary distributions; Moments of first passage times; Generalized matrix inverses; Group inverse | |
| dc.title | The Computation of Key Properties of Markov Chains via Perturbations | en_NZ |
| dc.type | Commissioned Report | |
| pubs.elements-id | 211995 | |
| pubs.organisational-data | /AUT | |
| pubs.organisational-data | /AUT/Design & Creative Technologies |