Perturbed Markov Chains

Eilon Solan (1) , Nicolas Vieille (2)

1 TAU - School of Mathematical Sciences [Tel Aviv]
2 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC

We obtain results on the sensitivity of the invariant measure and other statistical quantities of a Markov chain with respect to perturbations of the transition matrix. We use graph-theoretic techniques, in contrast with the matrix analysis techniques previously used.

Mots clés: Perturbed Markov chains; conductance

Domaines: Economie et sciences de la décision

Eilon Solan, Nicolas Vieille. Perturbed Markov Chains. 2002. ⟨hal-00593647⟩