Series Expansions for Finite-State Markov Chains
Bernd Heidergott, Arie Hordijk, Miranda van Uitert · RePEc: Research Papers in Economics · 2005
This discussion paper led to a publication in 'Operations Research' , 2009, 58(3), 756-767. This paper provides series expansions of the stationary distribution of a finite Markov chain. This leads to an efficient numerical algorithm for computing the stationary distribution of a finite Markov chain. Numerical examples are given to illustrate the performance of the algorithm.