A NECESSARY CONDITION FOR WEAK LUMPABILITY IN FINITE MARKOV-PROCESSES

被引：5
|
作者：
LEDOUX, J
机构：
[1] IRISA-INRIA, F-35042 Rennes Cedex, Campus de Beaulieu
来源：
OPERATIONS RESEARCH LETTERS | 1993年 / 13卷 / 03期
关键词：
PROBABILITY; MARKOV PROCESSES; MARKOV CHAINS; LUMPABILITY;
D O I：
10.1016/0167-6377(93)90006-3
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Under certain conditions, the state space of a homogeneous Markov process can be partitionned to construct an aggregated Markovian process. However, the verification of these conditions requires expensive computations. In this note, we expose a necessary condition for having a Markovian aggregated process. This conditions is based on properties of the eigenvalues of certain submatrices of the transition rate matrix of the original Markov process.
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页码：165 / 168
页数：4
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