Perturbation bounds and degree of imprecision for uniquely convergent imprecise Markov chains

Damjan Škulj

doi:10.1016/j.laa.2017.07.022

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arXiv · 1602.08901

Perturbation bounds and degree of imprecision for uniquely convergent imprecise Markov chains

Damjan Škulj

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Abstract

The effect of perturbations of parameters for uniquely convergent imprecise Markov chains is studied. We provide the maximal distance between the distributions of original and perturbed chain and maximal degree of imprecision, given the imprecision of the initial distribution. The bounds on the errors and degrees of imprecision are found for the distributions at finite time steps, and for the stationary distributions as well.

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BibTeX RIS

Damjan Škulj. 2016-02-29. Perturbation bounds and degree of imprecision for uniquely convergent imprecise Markov chains. https://doi.org/10.1016/j.laa.2017.07.022

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