Iterative component-wise bounds for the steady-state distribution of a Markov chain

Abstract : We prove new iterative algorithms to provide component-wise bounds of the steady-state distribution of an irreducible and aperiodic Markov chain. These bounds are based on simple properties of (max,+) and (min,+) sequences. The bounds are improved at each iteration. Thus, we have a clear trade-off between tightness of the bounds (some algorithms converge to the true solution) and computation times. Copyright © 2011 John Wiley & Sons, Ltd.
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https://hal.uvsq.fr/hal-01309352
Contributor : Jean-Michel Fourneau <>
Submitted on : Friday, April 29, 2016 - 1:06:04 PM
Last modification on : Thursday, October 17, 2019 - 12:36:05 PM

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Jean-Michel Fourneau, Ana Bušic. Iterative component-wise bounds for the steady-state distribution of a Markov chain. Numerical Linear Algebra with Applications, Wiley, 2011, 18 (3), pp.1031-1049. ⟨10.1002/nla.824⟩. ⟨hal-01309352⟩

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