This article provides series expansions of the stationary distribution of a finite Markov chain. This leads to an efficient numerical algorithm for computing the stationary distribution of a finite Markov chain. Numerical examples are given to illustrate the performance of the algorithm. © 2007 Cambridge University Press.
|Number of pages||19|
|Journal||Probability in the Engineering and Informational Sciences|
|Publication status||Published - 2007|
Heidergott, B. F., Hordijk, A., & van Uitert, M. J. G. (2007). Series expansions for finite-state Markov chains. Probability in the Engineering and Informational Sciences, 21, 381-400. https://doi.org/10.1017/S0269964807000034