CEC Faculty Articles

Title

A 2-D Realization Theory for Markov Chains

Event Date/Location

Honolulu, HI

Document Type

Article

Date

12-1990

Publication Title

Proceedings of the 29th Conference on Decision and Control

ISSN or ISBN

0191-2216

First Page

853

Last Page

858

Description

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

This document is currently not available here.

Peer Reviewed

Find in your library

Share

COinS