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Transforming stochastic matrices for stochastic comparison with the st-order

Tuğrul DayarJean-Michel FourneauNihal Pekergin — 2003

RAIRO - Operations Research - Recherche Opérationnelle

We present a transformation for stochastic matrices and analyze the effects of using it in stochastic comparison with the strong stochastic (st) order. We show that unless the given stochastic matrix is row diagonally dominant, the transformed matrix provides better st bounds on the steady state probability distribution.

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