3 papers
math.PR2025
Computable Bounds on the Solution to Poisson's Equation for General Harris Chains
Peter W. Glynn, Na Lin, Yuanyuan Liu
Poisson's equation is fundamental to the study of Markov chains, and arises in connection with martingale representations and central limit theorems for additive functionals, pertu…
math.OC2025
Linear Algebraic Truncation Algorithm with A Posteriori Error Bounds for Computing Markov Chain Equilibrium Gradients
Saied Mahdian, Peter W. Glynn
The numerical computation of equilibrium reward gradients for Markov chains appears in many applications for example within the policy improvement step arising in connection with a…
math.PR2024
A Numerical Truncation Approximation with A Posteriori Error Bounds for the Solution of Poisson's Equation
Saied Mahdian, Peter W. Glynn, Yuanyuan Liu
The solution to Poisson's equation arise in many Markov chain and Markov jump process settings, including that of the central limit theorem, value functions for average reward Mark…