A Critical Account of Perturbation Analysis of Markov Chains
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arXiv
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| Format: | Preprint |
| Published: |
2016
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| _version_ | 1866916187998257152 |
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| author | Abbas, Karim Berkhout, Joost Heidergott, Bernd |
| author_facet | Abbas, Karim Berkhout, Joost Heidergott, Bernd |
| contents | Perturbation analysis of Markov chains provides bounds on the effect that a change in a Markov transition matrix has on the corresponding stationary distribution. This paper compares and analyzes bounds found in the literature for finite and denumerable Markov chains and introduces new bounds based on series expansions. We discuss a series of examples to illustrate the applicability and numerical efficiency of the various bounds. Specifically, we address the question on how the bounds developed for finite Markov chains behave as the size of the system grows. In addition, we provide for the first time an analysis of the relative error of these bounds. For the case of a scaled perturbation we show that perturbation bounds can be used to analyze stability of a stable Markov chain with respect to perturbation with an unstable chain. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_1609_04138 |
| institution | arXiv |
| publishDate | 2016 |
| record_format | arxiv |
| spellingShingle | A Critical Account of Perturbation Analysis of Markov Chains Abbas, Karim Berkhout, Joost Heidergott, Bernd Probability 60J10 (Primary), 15A12, 15A18 (Secondary) Perturbation analysis of Markov chains provides bounds on the effect that a change in a Markov transition matrix has on the corresponding stationary distribution. This paper compares and analyzes bounds found in the literature for finite and denumerable Markov chains and introduces new bounds based on series expansions. We discuss a series of examples to illustrate the applicability and numerical efficiency of the various bounds. Specifically, we address the question on how the bounds developed for finite Markov chains behave as the size of the system grows. In addition, we provide for the first time an analysis of the relative error of these bounds. For the case of a scaled perturbation we show that perturbation bounds can be used to analyze stability of a stable Markov chain with respect to perturbation with an unstable chain. |
| title | A Critical Account of Perturbation Analysis of Markov Chains |
| topic | Probability 60J10 (Primary), 15A12, 15A18 (Secondary) |
| url | https://arxiv.org/abs/1609.04138 |