A SUCCESSIVE LUMPING PROCEDURE FOR A CLASS OF MARKOV CHAINS

摘要

A class of Markov chains we call successively lumpable is specified for which it is shown that the stationary probabilities can be obtained by successively computing the stationary probabilities of a propitiously constructed sequence of Markov chains. Each of the latter chains has a(typically much) smaller state space and this yields significant computational improvements. We discuss how the results for discrete time Markov chains extend to semi-Markov processes and continuous time Markov processes. Finally, we will study applications of successively lumpable Markov chains to classical reliability and queueing models.