4,391 research outputs found
Stationary distributions and mean first passage times of perturbed Markov chains
Stationary distributions of perturbed finite irreducible discrete time Markov chains are intimately
connected with the behaviour of associated mean first passage times. This interconnection is explored
through the use of generalized matrix inverses. Some interesting qualitative results regarding the nature
of the relative and absolute changes to the stationary probabilities are obtained together with some
improved bounds
Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes
New algorithms for computing of asymptotic expansions for stationary
distributions of nonlinearly perturbed semi-Markov processes are presented. The
algorithms are based on special techniques of sequential phase space reduction,
which can be applied to processes with asymptotically coupled and uncoupled
finite phase spaces.Comment: 83 page
Perturbation theory for Markov chains via Wasserstein distance
Perturbation theory for Markov chains addresses the question how small
differences in the transitions of Markov chains are reflected in differences
between their distributions. We prove powerful and flexible bounds on the
distance of the th step distributions of two Markov chains when one of them
satisfies a Wasserstein ergodicity condition. Our work is motivated by the
recent interest in approximate Markov chain Monte Carlo (MCMC) methods in the
analysis of big data sets. By using an approach based on Lyapunov functions, we
provide estimates for geometrically ergodic Markov chains under weak
assumptions. In an autoregressive model, our bounds cannot be improved in
general. We illustrate our theory by showing quantitative estimates for
approximate versions of two prominent MCMC algorithms, the Metropolis-Hastings
and stochastic Langevin algorithms.Comment: 31 pages, accepted at Bernoulli Journa
Perturbation bounds and degree of imprecision for uniquely convergent imprecise Markov chains
The effect of perturbations of parameters for uniquely convergent imprecise
Markov chains is studied. We provide the maximal distance between the
distributions of original and perturbed chain and maximal degree of
imprecision, given the imprecision of the initial distribution. The bounds on
the errors and degrees of imprecision are found for the distributions at finite
time steps, and for the stationary distributions as well.Comment: 20 pages, 2 figure
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