Accession Number:

ADA162773

Title:

The Reduction of Perturbed Markov Generators: An Algorithm Exposing the Role of Transient States.

Descriptive Note:

Technical rept.,

Corporate Author:

MASSACHUSETTS INST OF TECH CAMBRIDGE LAB FOR INFORMATION AND DECISION SYSTEMS

Personal Author(s):

Report Date:

1985-09-01

Pagination or Media Count:

54.0

Abstract:

A new algorithm for the hierarchical aggregation of singularly perturbed finite-state Markov processes is derived. The approach taken bridges the gap between conceptually simple results for a relatively restricted class of processes and the significantly more complex results for the general case. The critical role played by almost transient states is exposed resulting in a straightforward algorithm for the construction of a sequence of aggregate generators associated with various time scales. These generators together provide a uniform asymptotic approximation of the original probability transition function. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE