On the convergence of the power series algorithm

Authors
Hooghiemstra, G Koole, G
Citation
G. Hooghiemstra et G. Koole, On the convergence of the power series algorithm, PERF EVAL, 42(1), 2000, pp. 21-39
Citations number
12
Categorie Soggetti
Computer Science & Engineering
Journal title
PERFORMANCE EVALUATION
ISSN journal
01665316 → ACNP
Volume
42
Issue
1
Year of publication
2000
Pages
21 - 39
Database
ISI
SICI code
0166-5316(200009)42:1<21:OTCOTP>2.0.ZU;2-4
Abstract
In this paper we study the convergence properties of the power series algor ithm, which gives a general method to determine (functions of) stationary d istributions of Markov chains. We show that normalization plays a crucial r ole and that the convergence can be improved by introducing some minor chan ges in the algorithm. We illustrate this with several numerical examples. ( C) 2000 Elsevier Science B.V. All rights reserved.