Timeline for Of all probability matrix $P$ having stationary distribution $\pi$, find the one having smallest diagonal
Current License: CC BY-SA 4.0
9 events
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| Jun 12, 2020 at 11:50 | comment | added | Dieter Kadelka | @RSMax: If you have a windows computer, there is a windows version of glpk: winglpk.sourceforge.net There is glpsol.exe in the package. I don't know anything about the quality of this solver. It should be much faster than excel, but you have to invest some time. | |
| Jun 11, 2020 at 17:23 | comment | added | Dieter Kadelka | If you have access to a unix/linux computer you should try the glpk package on mirrors.ocf.berkeley.edu/gnu/glpk It's very much faster than excel. After installing this package you have glpsol. With glpsol you can solve among others linear programs. There are examples where you can start | |
| Jun 11, 2020 at 17:11 | comment | added | RSMax | I tried with a $10\times{}10$ matrix using Excel's solver and it took about half an hour. That's much too slow for my purpose. I doubt the order of the $\boldsymbol{P}$ matrix will ever exceed $n = 10$ states though. In fact, I won't allow it too. | |
| Jun 11, 2020 at 15:17 | history | edited | Dieter Kadelka | CC BY-SA 4.0 |
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| Jun 11, 2020 at 15:04 | comment | added | Dieter Kadelka | Right, I just edited my answer. | |
| S Jun 11, 2020 at 15:03 | history | edited | Dieter Kadelka | CC BY-SA 4.0 |
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| Jun 11, 2020 at 15:01 | comment | added | RobPratt | But $\pi_i$ is given, right? | |
| Jun 11, 2020 at 15:01 | review | Suggested edits | |||
| S Jun 11, 2020 at 15:03 | |||||
| Jun 11, 2020 at 14:57 | history | answered | Dieter Kadelka | CC BY-SA 4.0 |