Research Reports from the Department of Operations

Document Type

Report

Publication Date

10-1-1968

Abstract

This paper develops expressions for the derivatives with respect to a parameter u of the stable probabilities of a class of Markov Chains whose transition matrices are of the form Q + PW. These expressions lead to iterative schemes for calculation which in term suggest gradient algorithms for finding locally optimal chains.

Keywords

Operations research, Mathematical optimization, System design, Markov processes, Linear programming, Programming (Mathematics)

Publication Title

Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University

Issue

Technical memorandum no. 126

Rights

This work is in the public domain and may be freely downloaded for personal or academic use

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