Author:
Wal Jan Van Der,Schweitzer Paul J.
Abstract
This article presents a new iterative method for computing the equilibrium distribution of a finite Markov chain, which has the significant advantage of providing good upper and lower bounds for the equilibrium probabilities. The method approximates the expected number of visits to each state between two successive visits to a given reference state. Numerical examples indicate that the performance of this method is quite good.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability
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