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Geometric bounds on iterative approximations for nearly completely decomposable Markov chains

Published online by Cambridge University Press:  14 July 2016

Guy Louchard  and
Guy Latouche
Guy Louchard
Affiliation:
Université Libre de Bruxelles
Guy Latouche*
Affiliation:
Université Libre de Bruxelles
*
∗Postal address for both authors: Laboratoire d'Informatique Théorique, Faculté des Sciences, Université Libre de Bruxelles, Campus Plaine CP 212, Boulevard du Triomphe, B-1050 Bruxelles, Belgium.
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Abstract

We consider a finite Markov chain with nearly-completely decomposable stochastic matrix. We determine bounds for the error, when the stationary probability vector is approximated via a perturbation analysis.

Keywords

ERROR BOUNDSPERTURBATION ANALYSISAGGREGATION-DISAGGREGATION
Type
Research Papers
Information
Journal of Applied Probability , Volume 27 , Issue 3 , September 1990 , pp. 521 - 529
Copyright
Copyright © Applied Probability Trust 1990 

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