Renewal approximation for the absorption time of a decreasing Markov chain.
Gerold AlsmeyerAlexander MarynychPublished in: J. Appl. Probab. (2016)
Keyphrases
- markov chain
- steady state
- transition probabilities
- markov process
- finite state
- monte carlo
- stationary distribution
- random walk
- markov model
- stochastic process
- state space
- monte carlo simulation
- transition matrix
- monte carlo method
- approximation algorithms
- confidence intervals
- closed form
- reinforcement learning
- hidden markov models
- search algorithm