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Insensitivity analysis of Markov chains

Kocurek, Martin — 2010

Programs and Algorithms of Numerical Mathematics

Sensitivity analysis of irreducible Markov chains considers an original Markov chain with transition probability matrix P and modified Markov chain with transition probability matrix P . For their respective stationary probability vectors π , π ˜ , some of the following charactristics are usually studied: π - π ˜ p for asymptotical stability [3], | π i - π ˜ i | , | π i - π ˜ i | π i for componentwise stability or sensitivity [1]. For functional transition probabilities, P = P ( t ) and stationary probability vector π ( t ) , derivatives are also used for studying...

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