Author:
Haviv Moshe,Van Der Heyden Ludo
Abstract
This paper discusses perturbation bounds for the stationary distribution of a finite indecomposable Markov chain. Existing bounds are reviewed. New bounds are presented which more completely exploit the stochastic features of the perturbation and which also are easily computable. Examples illustrate the tightness of the bounds and their application to bounding the error in the Simon–Ando aggregation technique for approximating the stationary distribution of a nearly completely decomposable Markov chain.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
58 articles.
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