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Stochastic Processes and their Applications
Article
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Stochastic Processes and their Applications
Article . 1978
License: Elsevier Non-Commercial
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Stochastic Processes and their Applications
Article . 1978 . Peer-reviewed
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Article . 1978
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Markov Chains with finite convergence time

Markov chains with finite convergence time
Authors: Brosh, Israel; Gerchak, Yigal;

Markov Chains with finite convergence time

Abstract

AbstractWe study the properties of finite ergodic Markov Chains whose transition probability matrix P is singular. The results establish bounds on the convergence time of Pm to a matrix where all the rows are equal to the stationary distribution of P. The results suggest a simple rule for identifying the singular matrices which do not have a finite convergence time. We next study finite convergence to the stationary distribution independent of the initial distribution. The results establish the connection between the convergence time and the order of the minimal polynomial of the transition probability matrix. A queuing problem and a maintenance Markovian decision problem which possess the property of rapid convergence are presented.

Keywords

Statistics and Probability, null space, Markov chains, Applied Mathematics, eigenvalues, Markov decision problem, Markov chains (discrete-time Markov processes on discrete state spaces), Queueing theory (aspects of probability theory), convergence time, accessibility, minimal polynomial, leading vectors, Modelling and Simulation

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
6
Average
Top 10%
Average
hybrid