Computation of Invariant Measures and Stationary Expectations for Markov Chains with Block-Band Transition Matrix
Joint Authors
Baumann, Hendrik
Hanschke, Thomas
Source
Journal of Applied Mathematics
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-07-08
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
This paper deals with the computation of invariant measures and stationary expectations for discrete-time Markov chains governed by a block-structured one-step transition probability matrix.
The method generalizes in some respect Neuts’ matrix-geometric approach to vector-state Markov chains.
The method reveals a strong relationship between Markov chains and matrix continued fractions which can provide valuable information for mastering the growing complexity of real-world applications of large-scale grid systems and multidimensional level-dependent Markov models.
The results obtained are extended to continuous-time Markov chains.
American Psychological Association (APA)
Baumann, Hendrik& Hanschke, Thomas. 2020. Computation of Invariant Measures and Stationary Expectations for Markov Chains with Block-Band Transition Matrix. Journal of Applied Mathematics،Vol. 2020, no. 2020, pp.1-16.
https://search.emarefa.net/detail/BIM-1174520
Modern Language Association (MLA)
Baumann, Hendrik& Hanschke, Thomas. Computation of Invariant Measures and Stationary Expectations for Markov Chains with Block-Band Transition Matrix. Journal of Applied Mathematics No. 2020 (2020), pp.1-16.
https://search.emarefa.net/detail/BIM-1174520
American Medical Association (AMA)
Baumann, Hendrik& Hanschke, Thomas. Computation of Invariant Measures and Stationary Expectations for Markov Chains with Block-Band Transition Matrix. Journal of Applied Mathematics. 2020. Vol. 2020, no. 2020, pp.1-16.
https://search.emarefa.net/detail/BIM-1174520
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1174520