论文信息 - CLOSED-FORM STOCHASTIC BOUNDS ON THE STATIONARY DISTRIBUTION OF MARKOV CHAINS

CLOSED-FORM STOCHASTIC BOUNDS ON THE STATIONARY DISTRIBUTION OF MARKOV CHAINS

We propose a particular class of transition probability matrices for discrete-time Markov chains with a closed form to compute the stationary distribution. The stochastic monotonicity properties of this class are established. We give algorithms to construct monotone, bounding matrices belonging to the proposed class for the variability orders. The accuracy of bounds with respect to the underlying matrix structure is discussed through an example.

N. Pekergin | M. B. Mamoun

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