Using the QR factorization and group inversion to compute, differentiate, and estimate the sensitivity of stationary probabilities for Markov chains

For an $n$-state finite, homogeneous, ergodic Markov chain, with transition matrix ${\bf P}$ and stationary distribution ${\boldsymbol \pi} $ we assume that the entries of ${\bf P}$ are differentiable functions of a parameter $t$ and we obtain an expression for $d{\boldsymbol \pi} /dt$. This express...

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Veröffentlicht in:	SIAM journal on algebraic and discrete methods 1986-04, Vol.7 (2), p.273-281
Hauptverfasser:	GOLUB, G. H, MEYER, C. D. JR
Format:	Artikel
Sprache:	eng
Schlagworte:	Exact sciences and technology Markov analysis Markov processes Mathematics Probability Probability and statistics Probability theory and stochastic processes Sciences and techniques of general use Sensitivity analysis
Online-Zugang:	Volltext
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