Tensor approach to mixed high-order moments of absorbing Markov chains

Danil Nemirovsky 1
1 MAESTRO - Models for the performance analysis and the control of networks
CRISAM - Inria Sophia Antipolis - Méditerranée
Abstract : Moments of absorbing Markov chain are considered. First moments and non-mixed second moments are determined in classical textbooks such as the book of J. Kemeny and J. Snell ``Finite Markov Chains''. The reason is that the first moments and the non-mixed second moments can be easily expressed in a matrix form. Since the representation of mixed moments of higher orders in a matrix form is not straightforward, if ever possible, they were not calculated. The gap is filled by this paper. Tensor approach to the mixed high-order moments is proposed and compact closed-form expressions for the moments are discovered.
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[Research Report] RR-7072, INRIA. 2009
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Danil Nemirovsky. Tensor approach to mixed high-order moments of absorbing Markov chains. [Research Report] RR-7072, INRIA. 2009. 〈inria-00426763v2〉

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