stationary_cont {LaMa} | R Documentation |
Compute the stationary distribution of a continuous-time Markov chain
Description
A well-behaved continuous-time Markov chain converges to a unique stationary distribution, here called \pi
.
This distribution satisfies
\pi Q = 0,
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.
Usage
stationary_cont(Q)
Arguments
Q |
infinitesimal generator matrix of dimension |
Value
either a single stationary distribution of the continuous-time Markov chain (vector of length N
) or a matrix of stationary distributions of dimension c(nTracks,N)
with one stationary distribution in each row
See Also
generator
to create a generator matrix
Other stationary distribution functions:
stationary()
,
stationary_p()
Examples
# single matrix
Q = generator(c(-2,-2))
Pi = stationary_cont(Q)
# multiple matrices
Q = array(Q, dim = c(2,2,10))
Pi = stationary_cont(Q)