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Reports (Research Report) Year : 2009

Tensor approach to mixed high-order moments of absorbing Markov chains

Abstract

Moments of absorbing Markov chain are considered. First moments and non-mixed second moments are determined in classical textbooks such as the book of J. Kemeny and J. Snell ``Finite Markov Chains''. The reason is that the first moments and the non-mixed second moments can be easily expressed in a matrix form. Since the representation of mixed moments of higher orders in a matrix form is not straightforward, if ever possible, they were not calculated. The gap is filled by this paper. Tensor approach to the mixed high-order moments is proposed and compact closed-form expressions for the moments are discovered.
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Dates and versions

inria-00426763 , version 1 (28-10-2009)
inria-00426763 , version 2 (09-11-2009)

Identifiers

  • HAL Id : inria-00426763 , version 2

Cite

Danil Nemirovsky. Tensor approach to mixed high-order moments of absorbing Markov chains. [Research Report] RR-7072, INRIA. 2009. ⟨inria-00426763v2⟩
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