Conditions Under Which A Markov Chain Converges to Its Steady-State in Finite Time.
STANFORD UNIV CA DEPT OF OPERATIONS RESEARCH
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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.
- Statistics and Probability