Uniformization for λ-positive Markov chains

Richardus J. Boucherie; Erik A. van Doorn

doi:10.1080/15326349808807465

Uniformization for λ-positive Markov chains

Richardus J. Boucherie, Erik A. van Doorn

Stochastic Operations Research

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

We show that a variant of the uniformization method for the numerical calculation of transient state probabilities of positive recurrent Markov chains, in which the truncation error can be made arbitrarily small uniformly over time, can be extended to lambda-positive Markov chains.

Original language	Undefined
Article number	10.1080/15326349808807465
Pages (from-to)	171-186
Number of pages	15
Journal	Communications in statistics : Stochastic models
Volume	14
Issue number	1/2
DOIs	https://doi.org/10.1080/15326349808807465
Publication status	Published - 1998

Keywords

EWI-12856
IR-62352
METIS-140557

Access to Document

10.1080/15326349808807465

http://eprints.eemcs.utwente.nl/secure2/12856/01/smunif.pdf

Cite this

@article{c10191126af649c4a96564bf43eb2c0f,

title = "Uniformization for λ-positive Markov chains",

abstract = "We show that a variant of the uniformization method for the numerical calculation of transient state probabilities of positive recurrent Markov chains, in which the truncation error can be made arbitrarily small uniformly over time, can be extended to lambda-positive Markov chains.",

keywords = "EWI-12856, IR-62352, METIS-140557",

author = "Boucherie, {Richardus J.} and {van Doorn}, {Erik A.}",

year = "1998",

doi = "10.1080/15326349808807465",

language = "Undefined",

volume = "14",

pages = "171--186",

journal = "Stochastic models",

issn = "1532-6349",

publisher = "Taylor & Francis",

number = "1/2",

}

TY - JOUR

T1 - Uniformization for λ-positive Markov chains

AU - Boucherie, Richardus J.

AU - van Doorn, Erik A.

PY - 1998

Y1 - 1998

N2 - We show that a variant of the uniformization method for the numerical calculation of transient state probabilities of positive recurrent Markov chains, in which the truncation error can be made arbitrarily small uniformly over time, can be extended to lambda-positive Markov chains.

AB - We show that a variant of the uniformization method for the numerical calculation of transient state probabilities of positive recurrent Markov chains, in which the truncation error can be made arbitrarily small uniformly over time, can be extended to lambda-positive Markov chains.

KW - EWI-12856

KW - IR-62352

KW - METIS-140557

U2 - 10.1080/15326349808807465

DO - 10.1080/15326349808807465

M3 - Article

VL - 14

SP - 171

EP - 186

JO - Stochastic models

JF - Stochastic models

SN - 1532-6349

IS - 1/2

M1 - 10.1080/15326349808807465

ER -