A Numerical Algorithm on the Computation of the Stationary Distribution of a Discrete Time Homogenous Finite Markov Chain

摘要

The transition matrix, which characterizes a discrete time homogeneous Markov chain, is a stochastic matrix. A stochastic matrix is a special nonnegative matrix with each row summing up to 1. In this paper, we focus on the computation of the stationary distribution of a transition matrix from the viewpoint of the Perron vector of a nonnegative matrix, based on which an algorithm for the stationary distribution is proposed. The algorithm can also be used to compute the Perron root and the corresponding Perron vector of any nonnegative irreducible matrix. Furthermore, a numerical example is given to demonstrate the validity of the algorithm.