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    Computing the nearest reversible Markov chain (2014)
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    Publication Date: 2016-06-09
    Description: Reversible Markov chains are the basis of many applications. However, computing transition probabilities by a finite sampling of a Markov chain can lead to truncation errors. Even if the original Markov chain is reversible, the approximated Markov chain might be non-reversible and will lose important properties, like the real valued spectrum. In this paper, we show how to find the closest reversible Markov chain to a given transition matrix. It turns out that this matrix can be computed by solving a convex minimization problem.
    Language: English
    Type: reportzib , doc-type:preprint
    Format: application/pdf
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