Algorithms for finding steady state probabilities for some special classes of finite state Markov chains (Q1091951)
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English | Algorithms for finding steady state probabilities for some special classes of finite state Markov chains |
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Algorithms for finding steady state probabilities for some special classes of finite state Markov chains (English)
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1986
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This paper considers irreducible, aperiodic, positive recurrent finite Markov chains, with probability transitions matrices denoted by P, and the problem of computing the steady state probability vector i.e. the solution x to the equations \(xP=x\), \(xe=1\), \(x\geq 0\). Two special classes of matrix P are considered, viz. I.) In this case, with an appropriate permutation of the states, and by replacing the first equation of \(xP=x\) by \(xe=1\), the equations can be written in the form \(xZ=\delta_ n(1)\) where \(\delta_ n(1)\in R^ n\), and has a one in the first position, and zeros elsewhere and \[ Z= \left[\begin{matrix} Z_{11}& Z_{12}&...& Z_{1,k+1}& 0&...& 0 \\ Z_{21}& Z_{22}&...& Z_{2,k+1}& Z_{2,k+2}&...& 0 \\ \vdots & \vdots && \vdots & \vdots && \vdots \\ Z_{N-k,1}& Z_{N-k,2}&...& Z_{N-k,k+1}& Z_{N-k,k+2}&...& Z_{N-k,N} \\ \vdots & \vdots && \vdots & \vdots && \vdots \\ Z_{N,1}& Z_{N,2}& ...& Z_{N,k+1}& Z_{N,k+2}& ...& Z_{N,N} \end{matrix}\right] \] and where \(Z_{ij}\) are \(m\times m\) matrices, with \(Z_{i,k+i}\) \((i=1,2,...,N-K)\) being invertible. II) This is similar to I, being reducible to the form \(xZ=\delta_ n(\rho)\) but Z takes the form \(Z=L+U\), where L, U are respectively, lower and upper block triangular matrices, L has invertible diagonal block matrices, and L has all zero block columns, \(\delta_ n(\rho)\) has ones in specified places, and zeros elsewhere, and the zero block columns of U correspond to the ones on \(\delta_ n(p)\). Queueing examples are given which fit this situation. With an appropriate partition of x and Z in case I, the equations reduce to \(x_ 1A+ x_ 2C=\delta_{mk}(1)\) \((=(1,0,0,...,0))\) and \(x_ 1B+x_ 2D=0\). These have the solution \(x_ 1=-x_ 2DB^{-1}\), where \(x_ 2\) is the unique solution to \(x_ 2(C-DB^{- 1})=\delta_{mk}(1)\). A similar analysis is given for class II processes. Algorithms are given and their complexity compared with Gaussian elimination.
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Gaussian elimination method
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algorithmic methods
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irreducible, aperiodic, positive recurrent finite Markov chains
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steady state probability vector
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