On the convergence rate of quasi lumpable markov chains

Authors:
András Faragó
Affiliations:
The University of Texas at Dallas, Richardson, Texas
Venue:
EPEW'06 Proceedings of the Third European conference on Formal Methods and Stochastic Models for Performance Evaluation
Year:
2006

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Abstract

Our main result is a new bound on the rate at which the agg- regated state distribution approaches its limit in quasi-lumpable Markov chains. We also demonstrate that in certain cases this can lead to a significantly accelerated way of estimating the measure of subsets in Markov chains with very large state space