The Reduction of Perturbed Markov Generators: An Algorithm Exposing the Role of Transient States.
MASSACHUSETTS INST OF TECH CAMBRIDGE LAB FOR INFORMATION AND DECISION SYSTEMS
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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
- Statistics and Probability