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

Published online by Cambridge University Press:  10 October 2002

Mouad Ben Mamoun  and
Nihal Pekergin
Mouad Ben Mamoun
Affiliation:
PRiSM, Université de Versailles–St Quentin, Versailles, France, E-mail: [email protected]
Nihal Pekergin
Affiliation:
PRiSM, Université de Versailles–St Quentin, Versailles, France, E-mail: [email protected]
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Abstract

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.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 16 , Issue 4 , October 2002 , pp. 403 - 426
Copyright
© 2002 Cambridge University Press

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