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Markov Chains with finite convergence time

Author

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  • Brosh, Israel
  • Gerchak, Yigal

Abstract

We study the properties of finite ergodic Markov Chains whose transition probability matrix P is singular. The results establish bounds on the convergence time of Pm to a matrix where all the rows are equal to the stationary distribution of P. The results suggest a simple rule for identifying the singular matrices which do not have a finite convergence time. We next study finite convergence to the stationary distribution independent of the initial distribution. The results establish the connection between the convergence time and the order of the minimal polynomial of the transition probability matrix. A queuing problem and a maintenance Markovian decision problem which possess the property of rapid convergence are presented.

Suggested Citation

  • Brosh, Israel & Gerchak, Yigal, 1978. "Markov Chains with finite convergence time," Stochastic Processes and their Applications, Elsevier, vol. 7(3), pages 247-253, August.
    • Handle: RePEc:eee:spapps:v:7:y:1978:i:3:p:247-253
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