"Find a steady state of the Markov process given by the following transition matrix:

(.7 .3 0 )

(.2 .4 .8)

(.1 .3 .2)

Does anyone know how to go about doing this?

Thanks,

3LD

Printable View

- January 6th 2008, 10:33 PM3leggeddogMarkov Chains - Steady State
"Find a steady state of the Markov process given by the following transition matrix:

(.7 .3 0 )

(.2 .4 .8)

(.1 .3 .2)

Does anyone know how to go about doing this?

Thanks,

3LD - January 7th 2008, 12:22 AMCaptainBlack
The steady state is an eigen vector of the transition matrix coresponding to

the eigen value 1. That is you want a solution of:

which is a non zero solution of:

subject to the constraints that and

Alternativly you could compute:

for larger and larger utill you get convergence.

Or you could just show that:

is a steady state solution.

RonL