The computation of stationary distributions of Markov chains through perturbations

Jeffery J. Hunter

International Journal of Stochastic Analysis, 1991, vol. 4, 1-18

Abstract:

An algorithmic procedure for the determination of the stationary distribution of a finite, m -state, irreducible Markov chain, that does not require the use of methods for solving systems of linear equations, is presented. The technique is based upon a succession of m , rank one, perturbations of the trivial doubly stochastic matrix whose known steady state vector is updated at each stage to yield the required stationary probability vector.

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:625931

DOI: 10.1155/S1048953391000023

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