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Published in:
2009 | OriginalPaper | Chapter
Numerical Method for Bounds Computations of Discrete-Time Markov Chains with Different State Spaces
Authors : Mourad Ahmane, Laurent Truffet
Published in: Analytical and Stochastic Modeling Techniques and Applications
Publisher: Springer Berlin Heidelberg
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In this paper, we propose a numerical method for bounds computations of discrete-time Markov chains with different state spaces. This method is based on the necessary and sufficient conditions for the comparison of one-dimensional (also known as the point-wise comparison) of discrete-time Markov chains given in our previous work [3]. For achieving our objective, we proceed as follows. Firstly, we transform the comparison criterion under the form of a complete linear system of inequalities. Secondly, we use our implementation on Scilab software of Gamma-algorithm to determine the set of all possible bounds of a given Markov chain.