Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
Computing Moments of the Exit Time Distribution for Markov Processes by Linear Programming
复制标题
用线性规划计算马尔可夫过程的退出时间分布矩
DOI：
10.1287/opre.49.4.516.11221
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发表时间：
2001
期刊：
影响因子：
--
通讯作者：
R. Stockbridge
中科院分区：
文献类型：
--
作者：
K. Helmes;Stefan Röhl;R. Stockbridge
我们提供了一种新的方法来数值计算的时刻的马尔可夫过程的出口时间分布。该方法依赖于从有界域退出的过程的线性规划制定。的LP制定的特点的演变过程中通过的时刻引起的占领措施，自然提供了上界和下界的确切值的时刻。矩必须满足的条件是直接从马尔可夫过程的生成元导出的，而不是基于过程的某种近似。优秀的软件是现成的，因为计算涉及有限维线性规划。
We provide a new approach to the numerical computation of moments of the exit time distribution of Markov processes. The method relies on a linear programming formulation of a process exiting from a bounded domain. The LP formulation characterizes the evolution of the process through the moments of the induced occupation measure and naturally provides upper and lower bounds for the exact values of the moments. The conditions the moments have to satisfy are derived directly from the generator of the Markov process and are not based on some approximation of the process. Excellent software is readily available because the computations involve finite dimensional linear programs.