Computational Discrete Time Markov Chain with Correlated Transition Probabilities | Science Publications

Journal of Mathematics and Statistics

Peerayuth Charnsethikul¹ 

关键词: Markov chain;    steady state analysis;    correlated transition probabilities;    computational methods;   

DOI  :  10.3844/jmssp.2006.457.459

学科分类：社会科学、人文和艺术（综合）

来源: Science Publications

【 摘 要 】

This study presents a computational procedure for analyzing statistics of steady state probabilities in a discrete time Markov chain with correlations among their transition probabilities. The proposed model simply uses the first order Taylor's series expansion and statistical expected value properties to obtain the resulting linear matrix equations system. Computationally, the bottleneck is O(n4) but can be improved by distributed and parallel processing. A preliminary computational experience is reported.

【 授权许可】

Unknown