Series Expansions For Finite-State Markov Chains

Authors:
Bernd Heidergott;Arie Hordijk;Miranda Van Uitert
Affiliations:
Department of Econometrics Vrije Universiteit Amsterdam 1081 HV Amsterdam, The Netherlands E-mail: bheidergott@feweb.vu.nl;Mathematical Institute Leiden University 2300 RA Leiden, The Netherlands E-mail: hordijk@math.leidenuniv.nl;Department of Econometrics Vrije Universiteit Amsterdam 1081 HV Amsterdam, The Netherlands E-mail: muitert@feweb.vu.nl
Venue:
Probability in the Engineering and Informational Sciences
Year:
2007

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Abstract

This article provides series expansions of the stationary distribution of a finite Markov chain. This leads to an efficient numerical algorithm for computing the stationary distribution of a finite Markov chain. Numerical examples are given to illustrate the performance of the algorithm.