Sensitivity of the Stationary Distribution of a Markov Chain
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Publication:4305388
DOI10.1137/S0895479892228900zbMath0809.65143MaRDI QIDQ4305388
Publication date: 13 September 1994
Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)
sensitivity analysiscondition numbertransition matrixstochastic matrixill-conditionedirreducible Markov chainLU or QR factorization
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical computation of matrix norms, conditioning, scaling (65F35) Stochastic matrices (15B51) Conditioning of matrices (15A12) Probabilistic methods, stochastic differential equations (65C99)
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