A Near-Optimal Finite Approximation Approach for Computing Stationary Distribution and Performance Measures of Continuous-State Markov Chains
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Analysis and use of stochastic models represented by a discrete-time Markov Chain require evaluation of performance measures and characterization of its stationary distribution. Analytical solutions are often unavailable when the system states are continuous or mixed. This paper presents a new method for computing the stationary distribution and performance measures for stochastic systems represented by continuous-, or mixed-state Markov chains. We show the asymptotic convergence and provide deterministic non-asymptotic error bounds for our method under the supremum norm. Our finite approximation method is near-optimal among all discrete approximate distributions, including empirical distributions obtained from Markov chain Monte Carlo (MCMC). Numerical experiments validate the accuracy and efficiency of our method and show that it significantly outperforms MCMC based approach.
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