The computation of stationary distributions of Markov chains through perturbations. (1991)

• Record Type: Journal Article
• Authors: Hunter, Jeffery J.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 4:Number 1(1991)
• Page Start: 29
• Page End: 46
• Publication Date: 1991
• Subjects: finite state Markov chains -- perturbations -- stationary probability vector; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953391000023
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : An algorithmic procedure for the determination of the stationary distribution of a finite, m -state, irreducible Markov chain, that does not require the use of methods for solving systems of linear equations, is presented. The technique is based upon a succession of m, rank one, perturbations of the trivial doubly stochastic matrix whose known steady state vector is updated at each stage to yield the required stationary probability vector.