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Numerical Iteration for Stationary Probabilities of Markov Chains
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 Title & Authors
Numerical Iteration for Stationary Probabilities of Markov Chains
Na, Seongryong;
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We study numerical methods to obtain the stationary probabilities of continuous-time Markov chains whose embedded chains are periodic. The power method is applied to the balance equations of the periodic embedded Markov chains. The power method can have the convergence speed of exponential rate that is ambiguous in its application to original continuous-time Markov chains since the embedded chains are discrete-time processes. An illustrative example is presented to investigate the numerical iteration of this paper. A numerical study shows that a rapid and stable solution for stationary probabilities can be achieved regardless of periodicity and initial conditions.
Markov chain;embedded chain;periodicity;power method;stationary probability;numerical iteration;balance equation;
 Cited by
여러 서버배정방식의 멀티클래스 손실시스템 연구,나성룡;

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