English, Article edition: SIMPLE PROCEDURES FOR FINDING MEAN FIRST PASSAGE TIMES IN MARKOV CHAINS JEFFREY J. HUNTER

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/131564
Physical Description
  • article
Language
  • English

Edition details

Title
  • SIMPLE PROCEDURES FOR FINDING MEAN FIRST PASSAGE TIMES IN MARKOV CHAINS
Author
  • JEFFREY J. HUNTER
Physical Description
  • article
Notes
  • The derivation of mean first passage times in Markov chains involves the solution of a family of linear equations. By exploring the solution of a related set of equations, using suitable generalized inverses of the Markovian kernel I - P, where P is the transition matrix of a finite irreducible Markov chain, we are able to derive elegant new results for finding the mean first passage times. As a by-product we derive the stationary distribution of the Markov chain without the necessity of any further computational procedures. Standard techniques in the literature, using for example Kemeny and Snell's fundamental matrix Z, require the initial derivation of the stationary distribution followed by the computation of Z, the inverse of I - P + eÏT where eT =​ (1, 1, â¦, 1) and ÏT is the stationary probability vector. The procedures of this paper involve only the derivation of the inverse of a matrix of simple structure, based upon known characteristics of the Markov chain together with simple elementary vectors. No prior computations are required. Various possible families of matrices are explored leading to different related procedures.
  • Markov chains, stationary distributions, mean first passage times, generalized inverses, fundamental matrix, group inverse
  • RePEc:wsi:apjorx:v:24:y:2007:i:06:p:813-829
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment