Sensitivity of finite Markov chains under perturbation

DOI10.1016/0167-7152(93)90011-7zbMATH Open0777.60065OpenAlexW2106967042MaRDI QIDQ1802441FDOQ1802441

Eugene Seneta

Publication date: 15 December 1993

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(93)90011-7

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zbMATH Keywords

stochastic matricesergodicity coefficientunique stationary distributionrelative sensitivity factor under perturbation

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Stochastic matrices (15B51)

Cites Work

• Perturbation theory and finite Markov chains
• Explicit forms for ergodicity coefficients and spectrum localization
• Non-negative matrices and Markov chains. 2nd ed
• Discrete Dynamic Programming
• Finite Continuous Time Markov Chains
• Title not available (Why is that?)
• Coefficients of ergodicity: structure and applications
• Sensitivity of the stationary distribution vector for an ergodic Markov chain
• Perturbation of the stationary distribution measured by ergodicity coefficients

Cited In (28)

• Response operators for Markov processes in a finite state space: radius of convergence and link to the response theory for axiom A systems
• New perturbation bounds for denumerable Markov chains
• Stationary distributions and mean first passage times of perturbed Markov chains
• Title not available (Why is that?)
• Uniform Stability of Markov Chains
• Sensitivity analysis of discrete Markov chains via matrix calculus
• Sensitivity to perturbation of the stationary distribution: Some refinements
• Comparison of perturbation bounds for the stationary distribution of a Markov chain
• Acute perturbation of the group inverse
• Perturbation of the stationary distribution measured by ergodicity coefficients
• The spectral gap and perturbation bounds for reversible continuous-time Markov chains
• Applications of Paz's inequality to perturbation bounds for Markov chains
• Title not available (Why is that?)
• On the Variances and Convariances of the Duration State Sizes of Semi-Markov Systems
• Improved bounds for a condition number for Markov chains
• Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes
• Response and sensitivity using Markov chains
• Markov chain sensitivity measured by mean first passage times
• Perturbation analysis of continuous‐time absorbing Markov chains
• Markov chains: ergodicity in time-discrete cases
• Sensitivity of the stationary distributions of denumerable Markov chains
• Mixing time estimation in reversible Markov chains from a single sample path
• Sensitivity of the stationary distribution vector for an ergodic Markov chain
• Using the QR Factorization and Group Inversion to Compute, Differentiate, and Estimate the Sensitivity of Stationary Probabilities for Markov Chains
• Title not available (Why is that?)
• Approximating physical invariant measures of mixing dynamical systems in higher dimensions
• Bounds on the Sensitivity of Generalised Semi-Markov Processes with a Single Generally Distributed Lifetime
• Regular Markov chains for which the transition matrix has large exponent

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