The Derivation of Markov Chain Properties using Generalized Matrix Inverses

arXiv1112.3404MaRDI QIDQ6229697FDOQ6229697

Publication date: 14 December 2011

Abstract: The analysis of many problems of interest associated with Markov chains, e.g. stationary distributions, moments of first passage time distributions and moments of occupation time random variables, involves the solution of a system of linear equations involving I - P, where P is the transition matrix of a finite, irreducible, discrete time Markov chain. Generalized inverses play an important role in the solution of such singular sets of equations. In this presentation we survey the application of generalized matrix inverses to the aforementioned problems.

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) Theory of matrix inversion and generalized inverses (15A09)

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