The Reduction of Perturbed Markov Generators: An Algorithm Exposing the Role of Transient States.

Abstract

A new algorithm for the hierarchical aggregation of singularly perturbed finite-state Markov processes is derived. The approach taken bridges the gap between conceptually simple results for a relatively restricted class of processes and the significantly more complex results for the general case. The critical role played by (almost) transient states is exposed resulting in a straightforward algorithm for the construction of a sequence of aggregate generators associated with various time scales. These generators together provide a uniform asymptotic approximation of the original probability transition function. (Author)

Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1985
Accession Number
ADA162773

Entities

People

  • Alan S. Willsky
  • Jan R. Rohlicek

Organizations

  • Massachusetts Institute of Technology

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Construction
  • Generators
  • Markov Processes
  • Mathematics
  • Probability
  • Sequences
  • Transitions

Readers

  • Mathematical Modeling and Probability Theory.
  • Systems Analysis and Design