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Northwest corner and banded matrix approximations to a Markov chain
Author(s) -
Zhao Yiqiang Q.,
Braun W. John,
Li Wei
Publication year - 1999
Publication title -
naval research logistics (nrl)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.665
H-Index - 68
eISSN - 1520-6750
pISSN - 0894-069X
DOI - 10.1002/(sici)1520-6750(199903)46:2<187::aid-nav4>3.0.co;2-v
Subject(s) - markov chain , stochastic matrix , probabilistic logic , mathematics , convergence (economics) , matrix (chemical analysis) , simple (philosophy) , approximations of π , chain (unit) , statistics , physics , philosophy , materials science , epistemology , astronomy , economics , composite material , economic growth
In this paper, we consider approximations to discrete time Markov chains with countably infinite state spaces. We provide a simple, direct proof for the convergence of certain probabilistic quantities when one uses a northwest corner or a banded matrix approximation to the original probability transition matrix. © 1999 John Wiley & Sons, Inc. Naval Research Logistics 46: 187–197, 1999