Accession Number:
ADA180541
Title:
Conditions Under Which A Markov Chain Converges to Its Steady-State in Finite Time.
Descriptive Note:
Technical rept.,
Corporate Author:
STANFORD UNIV CA DEPT OF OPERATIONS RESEARCH
Personal Author(s):
Report Date:
1987-04-01
Pagination or Media Count:
10.0
Abstract:
Analysis of the initial transient problem of Monte Carlo steady state simulation motivates the following question for Markov chains when does there exist a deterministic T such that PxT y-bar-0 x piy, where pi is the stationary distribution of X We show that this can essentially never happen for a continuous time Markov chain in discrete-time, such processes are basically i.i.d. Keywords Initial transient Markov chains.
Descriptors:
Subject Categories:
- Statistics and Probability