Regenerative Analysis and Steady State Distributions for Markov Chains

Published Online:https://doi.org/10.1287/opre.33.5.1107

We apply regenerative theory to derive certain relations between steady state probabilities of a Markov chain. These relations are then used to develop a numerical algorithm to find these probabilities. The algorithm is a modification of the Gauss-Jordan method, in which all elements used in numerical computations are nonnegative; as a consequence, the algorithm is numerically stable.

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