A dynamic programming approach for finite Markov processes and algorithms for the calculation of the limit matrix in Markov chains

DOI10.1080/02331934.2011.627333zbMATH Open1237.60061OpenAlexW2086291584MaRDI QIDQ3111140FDOQ3111140

Authors: Stefan Pickl, Dmitrii Lozovanu 

Publication date: 18 January 2012

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2011.627333

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zbMATH Keywords

polynomial time algorithmdiscrete Markov processlimit state matrixprobability of state transitiondynamic prgramming

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Dynamic programming (90C39)

Cites Work

• Scientific Applications: An algorithm for identifying the ergodic subchains and transient states of a stochastic matrix
• Optimization and Multiobjective Control of Time-Discrete Systems

Cited In (11)

• Computational discrete time Markov chain with correlated transition probabilities
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• Algorithms for Markov stochastic models
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• An approach for determining the matrix of limiting state probabilities in discrete Markov processes.
• Algorithms for determining the state-time probabilities and the limit matrix in Markov chains
• An effective Markov based approach for calculating the limit matrix in the analytic network process
• About limit matrices of finite-state Markov chains
• Algorithms for determining the transient and differential matrices in finite Markov processes
• Computer aided solving the high-order transition probability matrix of the finite Markov chain

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