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Blockwise Perturbation Theory for 2x2 Block Markov Chains
Authors:Jun-Gong Xue & Wei-Guo Gao
Abstract:Let P be a transition matrix of a Markov chain and be of the form $$P=Bigg( begin{matrix} P_{11} &P_{12} P_{21} &P_{22} end{matrix} Bigg).$$ The stationary distribution $π^T$ is partitioned conformally in the form $(π^T_1, π^T_2)$. This paper establish the relative error bound in $π^T_i (i=1,2)$ when each block $P_{ij}$ get a small relative perturbation.
Keywords:Blockwise perturbation   Markov chains   stationary distribution   error bound.
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