stationary_cont function

Compute the stationary distribution of a continuous-time Markov chain

A well-behaved continuous-time Markov chain converges to a unique stationary distribution, here called $\pi$. This distribution satisfies [REMOVE_ME]$\pi Q = 0, [REMOVE_ME_2]$ subject to $\sum_{j=1}^N \pi_j = 1$, where $Q$ is the infinitesimal generator of the Markov chain. This function solves the linear system of equations above for a given generator matrix.

stationary_cont(Q)

Arguments

• Q: infinitesimal generator matrix of dimension c(N,N)

Returns

stationary distribution of the continuous-time Markov chain with given generator matrix

Description

A well-behaved continuous-time Markov chain converges to a unique stationary distribution, here called $\pi$. This distribution satisfies

subject to $\sum_{j=1}^N \pi_j = 1$, where $Q$ is the infinitesimal generator of the Markov chain. This function solves the linear system of equations above for a given generator matrix.

Examples

Q = generator(c(-2,-2))
Pi = stationary_cont(Q)

See Also

generator to create a generator matrix

Other stationary distribution functions: stationary(), stationary_p()