
Accession Number : ADA111805
Title : RowContinuous Finite Markov Chains, Structure and Algorithms.
Descriptive Note : Scientific rept. no. 3,
Corporate Author : ROCHESTER UNIV NY GRADUATE SCHOOL OF MANAGEMENT
Personal Author(s) : Keilson,J ; Sumita,U ; Zachmann,M
PDF Url : ADA111805
Report Date : Mar 1981
Pagination or Media Count : 46
Abstract : For any finite bivariate Markov chain J(t), N(t) on state space for which rowcontinuity is present, i.e., N(t) changes by at most one at transitions, the ergodic distribution and mean passage times may be found by a simple algorithm. Related structure will be described. The procedure is based on probabilistic insights associated with semiMarkov processes and birthdeath processes. The resulting algorithms enable efficient treatment of chains with as many as 5000 = 50 x 100 states or more. Such bivariate chains are of importance to countless applied models in congestion theory, inventory theory, computer design, etc. The algorithm developed is to be used as a basis for calculating the distribution of the maximum of certain stationary meteorological processes over a specified interval.
Descriptors : *MARKOV PROCESSES, PROBABILITY DISTRIBUTION FUNCTIONS, BIVARIATE ANALYSIS, BIVARIATE DENSITY FUNCTIONS, TIME, CONTINUITY, ALGORITHMS, MEAN
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE