IDEAS home Printed from https://ideas.repec.org/p/tin/wpaper/20050086.html
   My bibliography  Save this paper

Series Expansions for Finite-State Markov Chains

Author

Listed:
  • Bernd Heidergott

    (Faculty of Economics, Vrije Universiteit Amsterdam)

  • Arie Hordijk

    (Leiden University, Mathematical Institute)

  • Miranda van Uitert

    (Faculty of Economics, Vrije Universiteit Amsterdam)

Abstract

This discussion paper led to a publication in 'Operations Research' , 2009, 58(3), 756-767. This paper provides series expansions of the stationary distribution of a finite Markov chain. This leads to an efficient numerical algorithm for computing the stationary distribution of a finite Markov chain. Numerical examples are given to illustrate the performance of the algorithm.

Suggested Citation

  • Bernd Heidergott & Arie Hordijk & Miranda van Uitert, 2005. "Series Expansions for Finite-State Markov Chains," Tinbergen Institute Discussion Papers 05-086/4, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:20050086
    as

    Download full text from publisher

    File URL: https://papers.tinbergen.nl/05086.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    finite-state Markov chain; (Taylor) series expansion; measure-valued derivatives; coupled processors;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tin:wpaper:20050086. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tinbergen Office +31 (0)10-4088900 (email available below). General contact details of provider: https://edirc.repec.org/data/tinbenl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.