Indeterminate Markov systems

DOI10.1016/0096-3003(94)00175-4MaRDI QIDQ1899341zbMATH OpenOpenAlexFDO

Publication date 21 November 1995

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0096-3003(94)00175-4

convex polytope interval mathematics nonnegative matrices set valued difference equation

Matrix equations and identities (15A24) Positive matrices and their generalizations; cones of matrices (15B48) Additive difference equations (39A10) (n)-dimensional polytopes (52B11) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Interval and finite arithmetic (65G30)

Review text

Let \(P\leq Q\) (componentwise) be \(n\times n\) nonnegative matrices; \(p\leq q\), \(\ell\leq h\), \(r\), \(s\) be \(1\times n\) nonnegative vectors. Define \[ \begin{multlined} A= [P, Q]= \bigl\{ B:\;B \text{ is an \(n\times n\) nonnegative matrix where }P\leq B\leq Q \text{ and}\\ r_i\leq \sum_k b_{ik}\leq s_i \text{ for all }i\bigr\}.\end{multlined} \] Define \(b= [p, q]= \{c\): \(c\) is a \(1\times n\) nonnegtive vector with \(p\leq c\leq q\}\), and \(X_0= [\ell, h]\) similarly. This paper considers the set valued difference equation \[ X_{k+1}= X_k A+b= \{\overline {x}:\;\overline {x}= xB+c \text{ where } x\in X_k,\;B\in A, \text{ and } c\in b\}. \] It is shown that each \(X_k\) is a compact convex polytope. These polytopes can have numerous vertices, so the paper describes how to compute tight component bounds on the vectors in \(X_k\) for all \(k\geq 0\).

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