SERIES EXPANSIONS FOR FINITE-STATE MARKOV CHAINS

Bernd Heidergott; Arie Hordijk; Miranda van Uitert

doi:10.1017/S0269964807000034

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.

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SERIES EXPANSIONS FOR FINITE-STATE MARKOV CHAINS

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