Augmented truncation approximations of discrete-time Markov chains

作者：Liu, Yuanyuan^*

来源：Operations Research Letters, 2010, 38(3): 218-222.

DOI：10.1016/j.orl.2009.12.001

• Truncation
• Markov chains
• Polynomial ergodicity
• Geometric ergodicity
• Queues

Let P be a positive recurrent infinite transition matrix with invariant distribution pi and ((n))(P) over bar be a truncated and arbitrarily augmented stochastic matrix with invariant distribution ((n))pi. We investigate the convergence parallel to((n))pi - pi parallel to -> 0, as n -> infinity, and derive a widely applicable sufficient criterion. Moreover, computable bounds on the error parallel to((n))pi - pi parallel to are obtained for polynomially and geometrically ergodic chains. The bounds become rather explicit when the chains are stochastically monotone.

• 出版日期2010-5