Error Bounds for Augmented Truncations of Discrete-Time Block-Monotone Markov Chains under Geometric Drift Conditions

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Error Bounds for Last-column-block-augmented Truncations of Block-structured Markov Chains

This paper discusses the error estimation of the last-column-block-augmented northwest-corner truncation (LC-block-augmented truncation, for short) of block-structured Markov chains (BSMCs) in continuous time. We first derive upper bounds for the absolute difference between the time-averaged functionals of a BSMC and its LC-block-augmented truncation, under the assumption that the BSMC satisfie...

متن کامل

Geometric Bounds for Eigenvalues of Markov Chains

Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your perso...

متن کامل

Drift conditions and invariant measures for Markov chains

We consider the classical Foster–Lyapunov condition for the existence of an invariant measure for a Markov chain when there are no continuity or irreducibility assumptions. Provided a weak uniform countable additivity condition is satis/ed, we show that there are a /nite number of orthogonal invariant measures under the usual drift criterion, and give conditions under which the invariant measur...

متن کامل

Hierarchical Counterexamples for Discrete-Time Markov Chains

This paper introduces a novel counterexample generation approach for the verification of discrete-time Markov chains (DTMCs) with two main advantages: (1) We generate abstract counterexamples which can be refined in a hierarchical manner. (2) We aim at minimizing the number of states involved in the counterexamples, and compute a critical subsystem of the DTMC whose paths form a counterexample....

متن کامل

Rigorous confidence bounds for MCMC under a geometric drift condition

interest and Ît,n = (1/n) ∑t+n−1 i=t f(Xi) its MCMC estimate. Precisely, we derive lower bounds for the length of the trajectory n and burn-in time t which ensure that P (|Ît,n − I| ≤ ε) ≥ 1− α. The bounds depend only and explicitly on drift parameters, on the V−norm of f, where V is the drift function and on precision and confidence parameters ε, α. Next we analyse an MCMC estimator based on t...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Advances in Applied Probability

سال: 2015

ISSN: 0001-8678,1475-6064

DOI: 10.1017/s0001867800007710