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Transforming stochastic matrices for stochastic comparison with the st-order

Published online by Cambridge University Press:  15 November 2003

Tuğrul Dayar ,
Jean-Michel Fourneau  and
Nihal Pekergin
Tuğrul Dayar
Affiliation:
Department of Computer Engineering, Bilkent University, 06533 Bilkent, Ankara, Turkey.
Jean-Michel Fourneau
Affiliation:
PRSM, Université de Versailles-St.Quentin, 45 avenue des États-Unis, 78035 France; jmf@prism.uvsq.fr.
Nihal Pekergin
Affiliation:
PRSM, Université de Versailles-St.Quentin, 45 avenue des États-Unis, 78035 France; jmf@prism.uvsq.fr.
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Abstract

We present a transformation for stochastic matrices and analyze the effects of using it in stochastic comparison with the strong stochastic (st) order. We show that unless the given stochastic matrix is row diagonally dominant, the transformed matrix provides better st bounds on the steady state probability distribution.

Keywords

Markov processesprobability distributionsstochastic orderingst-order.
Type
Research Article
Information
RAIRO - Operations Research , Volume 37 , Issue 2 , April 2003 , pp. 85 - 97
Copyright
© EDP Sciences, 2003

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