Compute the stationary distribution for a Continuous Time Markov Chain

StationaryDistribution(G, tol = 1e-12)

Arguments

G

Generator of a CTMC: A quadratic matrix with non-negative off-diagonal elements and zero row sums

tol

Tolerance, defaulting to 1e-12, giving the required accuracy on phi

phi, a vector with as many elements as rows in G, containing the stationary distribution.

StationaryDistribution compute the stationary distribution phi for a Continuous Time Markov Chain given by a generator G, which is given by the equations phi It is assumed that these two equations specify phi uniquely, i.e. that G is the generator of an ergodic chain. An error is returned otherwise.

G <- array(c(-2,1,2,-1),c(2,2)) phi <- StationaryDistribution(G)