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SERIES EXPANSIONS FOR FINITE-STATE MARKOV CHAINS

Published online by Cambridge University Press:  08 August 2007

Bernd Heidergott ,
Arie Hordijk  and
Miranda van Uitert
Bernd Heidergott
Affiliation:
Department of Econometrics Vrije Universiteit Amsterdam 1081 HV Amsterdam, The Netherlands E-mail: bheidergott@feweb.vu.nl
Arie Hordijk
Affiliation:
Mathematical Institute Leiden University 2300 RA Leiden, The Netherlands E-mail: hordijk@math.leidenuniv.nl
Miranda van Uitert
Affiliation:
Department of Econometrics Vrije Universiteit Amsterdam 1081 HV Amsterdam, The Netherlands E-mail: muitert@feweb.vu.nl
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Abstract

This article provides series expansions of the stationary distribution of a finite Markov chain. This leads to an efficient numerical algorithm for computing the stationary distribution of a finite Markov chain. Numerical examples are given to illustrate the performance of the algorithm.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 21 , Issue 3 , July 2007 , pp. 381 - 400
Copyright
2007 Cambridge University Press

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