On the Method of Pure Truncation for Approximating Stationary Probabilities
On the Method of Pure Truncation for Approximating Stationary Probabilities
Files
Publication or External Link
Date
2003-08-01
Authors
Stewart, G. W.
Advisor
Citation
DRUM DOI
Abstract
This paper is concerned with approximating the leading components of
the stationary vector of a semi-infinite discrete markov chain. The
most widely treated method extracts a leading principal submatrix from
the matrix of transition probabilities, adjusts its elements so that
it becomes stochastic, and takes the stationary vector of the result
as the approximation. In this paper, the consequences of taking the
normalized Perron vector of the unadjusted matrix as the approximation
are explored. Error bounds are derived, and it is shown that the
adjusted and unadjusted methods are approximations to one another.
(UMIACS-TR-2003-65)