A 2-D Realization Theory for Markov Chains

Author(s)

Jose A. Ramos, Nova Southeastern UniversityFollow
Erik I. Verriest

Document Type

Article

Publication Title

Proceedings of the 29th Conference on Decision and Control

Event Date/Location

Honolulu, HI

ISSN

0191-2216

Publication Date

12-1990

Abstract

In this paper we study the dynamics of time homogeneous Markov chain models from a state-space modeling point of view. It is shown that a Markov chain model can be embedded in a 2-D realization theory where markov parameters correspond to higher-order transition probabilities. The implications of formulating a Markov chain model in this state-space domain is that many equivalent representations may exist, some of which may have better robustness properties. A modified Hankel approximation algorithm is presented which exactly matches all the Markov parameters. The algorithm is an extension of the 2-D harmonic retrieval algorithm of D.V.B. Rao et al.

DOI

10.1109/CDC.1990.203709

First Page

853

Last Page

858

NSUWorks Citation

Ramos, Jose A. and Verriest, Erik I., "A 2-D Realization Theory for Markov Chains" (1990). CCE Faculty Articles. 383.
https://nsuworks.nova.edu/gscis_facarticles/383